Cash Accumulation Strategy based on Optimal Replication of Random Claims with Ordinary Integrals
Mathematical Finance
2017-11-07 v1
Abstract
This paper presents a numerical model to solve the problem of cash accumulation strategies for products with an unknown future price, like assets. Stock prices are modeled by a discretized Wiener Process, and by the means of ordinary integrals this Wiener Process will be exactly matched at a preset terminal time. Three applications of the model are presented: accumulating cash for a single asset, for set of different assets, and for a proportion of the excess achieved by a certain asset. Furthermore, an analysis of the efficiency of the model as function of different parameters is performed.
Keywords
Cite
@article{arxiv.1711.01756,
title = {Cash Accumulation Strategy based on Optimal Replication of Random Claims with Ordinary Integrals},
author = {Renko Siebols},
journal= {arXiv preprint arXiv:1711.01756},
year = {2017}
}