| Issue |
E3S Web Conf.
Volume 224, 2020
Topical Problems of Agriculture, Civil and Environmental Engineering (TPACEE 2020)
|
|
|---|---|---|
| Article Number | 03007 | |
| Number of page(s) | 6 | |
| Section | Green IT Engineering | |
| DOI | https://doi.org/10.1051/e3sconf/202022403007 | |
| Published online | 23 December 2020 | |
Algorithm for constructing hedging strategies by means of Haar interpolations in the framework of the stochastic model of a one-step financial market
Don State Technical University, 1, Gagarin sq., Rostov-on-Don, 344003, Russia
* Corresponding author: pilipenkoIV@mail.ru
A stochastic model of a one-step financial market with a countable number of states is constructed. A description of the computational processes that are necessary for the development of a software package intended for calculating the components of hedging portfolios that replicate Markov-type financial obligations is presented.
© The Authors, published by EDP Sciences, 2020
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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