Regular admissible wealth processes are necessarily of Black-Scholes type

Year 2014, Volume: 2 Issue: 2, 117 - 124, 01.08.2014

David Grow Dirk Rohmeder Suman Sanyal

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

Keywords

Black-Scholes, Option pricing; Geometric Brownian motion

Regular admissible wealth processes are necessarily of Black

Abstract

References

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