英文标题：
《Cash Accumulation Strategy based on Optimal Replication of Random Claims
with Ordinary Integrals》
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作者：
Renko Siebols
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最新提交年份：
2017
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英文摘要：
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.
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中文摘要：
本文提出了一个数值模型来解决未来价格未知的产品（如资产）的现金积累策略问题。股票价格由离散化的维纳过程建模，通过普通积分，该维纳过程将在预设的终端时间精确匹配。本文介绍了该模型的三个应用：为单个资产积累现金、为一组不同的资产积累现金以及为某一资产实现的超额部分积累现金。此外，还分析了不同参数对模型效率的影响。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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