Regular admissible wealth processes are necessarily of Black-Scholes type
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 th...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
BİSKA Bilisim Company
2014-10-01
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Series: | New Trends in Mathematical Sciences |
Subjects: | |
Online Access: | https://ntmsci.com/ajaxtool/GetArticleByPublishedArticleId?PublishedArticleId=32 |