Regular admissible wealth processes are necessarily of Black-Scholes type
Grow, David;Rohmeder, Dirk;Sanyal, Suman;
new trends in mathematical sciences2014Vol. 2pp. 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.