Black-Scholes Model and Martingale functions of a Brownian Motion

Authors

  • B. Chikvinidze Georgian-American University; Institute of Cybernetics of Georgian Technical University
  • M. Mania Georgian-American University; Razmadze Mathematical Institute of Tbilisi State University
  • R. Tevzadze Georgian-American University; Institute of Cybernetics of Georgian Technical University

DOI:

https://doi.org/10.62232/barp.9.2024.8571

Keywords:

Brownian Motion, Martingales, Functional Equations, Black- Scholes model

Abstract

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.

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Published

2024-12-23

How to Cite

Chikvinidze, B., Mania, M., & Tevzadze, R. (2024). Black-Scholes Model and Martingale functions of a Brownian Motion. Business Administration Research Papers, 9. https://doi.org/10.62232/barp.9.2024.8571

Issue

Vol. 9 (2024): Applications of Stochastic Processes and Mathematical Statistics to Financial Economics and Social Sciences IX

Section

Conference Materials

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