Cash Accumulation Strategy based on Optimal Replication of Random Claims with Ordinary Integrals

Por • 24 dic, 2017 • Sección: Economía

Renko Siebols

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.

arXiv:1711.01756v1 [q-fin.MF]

Mathematical Finance (q-fin.MF)

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