E3S Web of Conferences (Jan 2020)
Algorithm for constructing hedging strategies by means of Haar interpolations in the framework of the stochastic model of a one-step financial market
Abstract
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.