Black-Scholes Model and Martingale functions of a Brownian Motion
Using a description of time-dependent martingale functions of a Brownian Motion and some natural assumptions (axioms), we show that the evolution of the asset price process should follow to the geometric Brownian Motion.
Authors
- Besik Chikvinidze
- Revaz Tevzadze (ORCID: https://orcid.org/0000-0003-3810-8757)
- Michael Mania (ORCID: https://orcid.org/0000-0003-1655-1395)
Institutions
- Georgian Technical University (GE)
- Georgian American University (GE)
Publication Details
- Journal
- Business Administration Research Papers
- Published
- 2025-02-06
- DOI
- https://doi.org/10.62232/barp.9.2024.8571
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 0.00