Work

Black-Scholes Model and Martingale functions of a Brownian Motion

Year: 2025

Type: article

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.

Source: Business Administration Research Papers

DOI: 10.62232/barp.9.2024.8571

Authors: B. Chikvinidze, M. Mania, R. Tevzadze

Institutions: Georgian Technical University, Georgian American University, Tbilisi State University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W4407226185

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