Mathematics

Construction of an arbitrage hedging strategy in a market with assets depending on the same random factor

M. A. Martynov

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: We present an explicit hedging strategy which enables us to prove the arbitrage of the market incorporating at least two assets depending on the same random factor.

Key words: step-like contrast structure, semi-linear parabolic equation, arbitrage, option, hedging strategy.

UDC: 51-77

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