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Construction of an Arbitrage Hedging Strategy in a Market with Assets Depending on the same Random Factor / Martynov M.A. // Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika. 2010. № 6. P. 18-24 [Moscow Univ. Math. Bulletin. Vol. 65, No 6, 2010. P. 238-243]. An explicit hedging strategy is presented, which enables us to prove the arbitrage of the market incorporating at least two assets dependent on the same random factor.
Key words: step-like contrast structure, semi-linear parabolic equation,
arbitrage, option, hedging strategy.
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