Approximate Series and Claim Replicating Problems for a Market with Time Varying Random Volatility
نویسنده
چکیده
The paper investigates a contingent claim replicating problem for a diiusion market model. It is proposed an approach which does not call to solve the backward parabolic equation, unlike for the classical method, and this approach is applied for a case when the volatility coeecient is random and depends on time. The replicating strategy is decomposed to series of explicit strategies which does not use current estimations of volatility. A mean variance convergence of the series is proved.
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تاریخ انتشار 2007