Construction of an Arbitrage Hedging Strategy in a Market with Assets Depending on the same Random Factor / Martynov M.A. // Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika. 2010. № 6. P. 18-24 [Moscow Univ. Math. Bulletin. Vol. 72, N 2, 2017. P. 238-243].

An explicit hedging strategy is presented, which enables us to prove the arbitrage of the market incorporating at least two assets dependent on the same random factor.

Key words: step-like contrast structure, semi-linear parabolic equation, arbitrage, option, hedging strategy.