Abstract
In this paper, we find generating trading strategy for discounted security model in multidimensional diffusion model. Also, we observe generating trading strategy in its original model using discounted security model formula.
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References
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This research was supported by Inchon University Research Grant, 1997–1998
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Choi, W. On the representations of generating trading strategy for contingent claims in multidimensional diffusion model. Korean J. Comput. & Appl. Math. 5, 133–139 (1998). https://doi.org/10.1007/BF03008942
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DOI: https://doi.org/10.1007/BF03008942