On reselling of European option
On Black and Scholes market investor buys a European call option. At each moment of time till the maturity, he is allowed to resell the option for the quoted market price. A model is proposed, under which there is no arbitrage possibility. It is shown that the optimal reselling problem is equivalen...
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| Видавець: | Інститут математики НАН України |
|---|---|
| Дата: | 2006 |
| Автори: | , , |
| Формат: | Стаття |
| Мова: | English |
| Опубліковано: |
Інститут математики НАН України
2006
|
| Онлайн доступ: | http://dspace.nbuv.gov.ua/handle/123456789/4459 |
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| Цитувати: | On reselling of European option / A.G. Kukush, Yu.S. Mishura, G.M. Shevchenko // Theory of Stochastic Processes. — 2006. — Т. 12 (28), № 3-4. — С. 75–87. — Бібліогр.: 12 назв.— англ. |
Репозиторії
Digital Library of Periodicals of National Academy of Sciences of Ukraine| id |
irk-123456789-4459 |
|---|---|
| record_format |
dspace |
| spelling |
irk-123456789-44592009-11-12T12:00:27Z On reselling of European option Kukush, A.G. Mishura, Yu.S. Shevchenko, G.M. On Black and Scholes market investor buys a European call option. At each moment of time till the maturity, he is allowed to resell the option for the quoted market price. A model is proposed, under which there is no arbitrage possibility. It is shown that the optimal reselling problem is equivalent to constructing nonrandom two dimensional stopping domains. For a modified model of the market price, it is shown that the stopping domains have a threshold structure. 2006 Article On reselling of European option / A.G. Kukush, Yu.S. Mishura, G.M. Shevchenko // Theory of Stochastic Processes. — 2006. — Т. 12 (28), № 3-4. — С. 75–87. — Бібліогр.: 12 назв.— англ. 0321-3900 http://dspace.nbuv.gov.ua/handle/123456789/4459 en Інститут математики НАН України |
| institution |
Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| collection |
DSpace DC |
| language |
English |
| description |
On Black and Scholes market investor buys a European call option. At each moment of time till the maturity, he is allowed to resell the option for the quoted market price. A model is proposed, under which there is
no arbitrage possibility. It is shown that the optimal reselling problem is equivalent to constructing nonrandom two dimensional stopping domains.
For a modified model of the market price, it is shown that the
stopping domains have a threshold structure. |
| format |
Article |
| author |
Kukush, A.G. Mishura, Yu.S. Shevchenko, G.M. |
| spellingShingle |
Kukush, A.G. Mishura, Yu.S. Shevchenko, G.M. On reselling of European option |
| author_facet |
Kukush, A.G. Mishura, Yu.S. Shevchenko, G.M. |
| author_sort |
Kukush, A.G. |
| title |
On reselling of European option |
| title_short |
On reselling of European option |
| title_full |
On reselling of European option |
| title_fullStr |
On reselling of European option |
| title_full_unstemmed |
On reselling of European option |
| title_sort |
on reselling of european option |
| publisher |
Інститут математики НАН України |
| publishDate |
2006 |
| url |
http://dspace.nbuv.gov.ua/handle/123456789/4459 |
| citation_txt |
On reselling of European option / A.G. Kukush, Yu.S. Mishura, G.M. Shevchenko // Theory of Stochastic Processes. — 2006. — Т. 12 (28), № 3-4. — С. 75–87. — Бібліогр.: 12 назв.— англ. |
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AT kukushag onresellingofeuropeanoption AT mishurayus onresellingofeuropeanoption AT shevchenkogm onresellingofeuropeanoption |
| first_indexed |
2023-03-24T08:30:15Z |
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2023-03-24T08:30:15Z |
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1796139182822785024 |