Regular admissible wealth processes are necessarily of Black-Scholes type

Clicks: 246
ID: 30661
2014
Free PDF
Article Quality & Performance Metrics
Overall Quality
Not rated
Combines reader engagement with the AI quality analysis. This article has not been analysed, so there is no overall score — reader engagement is measured and shown alongside.
AI Quality Assessment
Not analyzed
Mint this article as an NFT
Not yet minted

Create a permanent, verifiable on-chain record of this article on the Scimatic Network. The NFT is held in your Journament account, and you can withdraw it to your own wallet at any time.

5 SUSD one-off · no wallet required
Sign in to mint
Abstract
We show that for a complete market where the stock price uncertainty is driven by a Brownian motion, there exists only one admissible wealth process which is a regular deterministic function of the time and the stock price. In particular, if the stock price is modeled by geometric Brownian motion then the Black-Scholes process is the only regular admissible wealth process.
Reference Key
grow2014regularnew Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Grow, David;Rohmeder, Dirk;Sanyal, Suman;
Journal new trends in mathematical sciences
Year 2014
DOI
DOI not found
URL
https://ntmsci.com/ajaxtool/GetArticleByPublishedArticleId?PublishedArticleId=32
Keywords Keywords not found

Citations

No citations found. To add a citation, contact the admin at info@scimatic.org

Comments

No comments yet. Be the first to comment on this article.