Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika
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Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika, 2010, Number 6, Pages 18–24 (Mi vmumm824)  
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
Full-text PDF (321 kB)
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.
Funding agency Grant number
Ministry of Education and Science of the Russian Federation 2.1.1/1399
Bibliographic databases:
Document Type: Article
UDC: 51-77
Language: Russian
Citation: M. A. Martynov, “Construction of an arbitrage hedging strategy in a market with assets depending on the same random factor”, Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2010, no. 6, 18–24
Citation in format AMSBIB
\Bibitem{Mar10}
\by M.~A.~Martynov
\paper Construction of an arbitrage hedging strategy in a market with assets depending on the same random factor
\jour Vestnik Moskov. Univ. Ser.~1. Mat. Mekh.
\yr 2010
\issue 6
\pages 18--24
\mathnet{http://mi.mathnet.ru/vmumm824}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2814985}
\zmath{https://zbmath.org/?q=an:1304.91223}
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