Regular admissible wealth processes are necessarily of Black-Scholes type

Regular admissible wealth processes are necessarily of Black-Scholes type

Grow, David;Rohmeder, Dirk;Sanyal, Suman;
new trends in mathematical sciences 2014 Vol. 2 pp. 117-124
178
grow2014regularnew

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.

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