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

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  • 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.

Suggested Citation

  • Renko Siebols, 2017. "Cash Accumulation Strategy based on Optimal Replication of Random Claims with Ordinary Integrals," Papers 1711.01756, arXiv.org.
    • Handle: RePEc:arx:papers:1711.01756
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    File URL: http://arxiv.org/pdf/1711.01756
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    1. Nikolai Dokuchaev, 2013. "Optimal replication of random claims by ordinary integrals with applications in finance," Papers 1301.0381, arXiv.org, revised Jan 2013.
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