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 e...
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| Datum: | 2006 |
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| Hauptverfasser: | , , |
| Format: | Artikel |
| Sprache: | Englisch |
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Інститут математики НАН України
2006
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| Online Zugang: | https://nasplib.isofts.kiev.ua/handle/123456789/4459 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Zitieren: | 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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Digital Library of Periodicals of National Academy of Sciences of Ukraine| _version_ | 1862700305083269120 |
|---|---|
| author | Kukush, A.G. Mishura, Yu.S. Shevchenko, G.M. |
| author_facet | Kukush, A.G. Mishura, Yu.S. Shevchenko, G.M. |
| 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. |
| collection | DSpace DC |
| 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.
|
| first_indexed | 2025-12-07T16:38:16Z |
| format | Article |
| fulltext | |
| id | nasplib_isofts_kiev_ua-123456789-4459 |
| institution | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| issn | 0321-3900 |
| language | English |
| last_indexed | 2025-12-07T16:38:16Z |
| publishDate | 2006 |
| publisher | Інститут математики НАН України |
| record_format | dspace |
| spelling | Kukush, A.G. Mishura, Yu.S. Shevchenko, G.M. 2009-11-11T15:21:39Z 2009-11-11T15:21:39Z 2006 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 https://nasplib.isofts.kiev.ua/handle/123456789/4459 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. en Інститут математики НАН України On reselling of European option Article published earlier |
| spellingShingle | On reselling of European option Kukush, A.G. Mishura, Yu.S. Shevchenko, G.M. |
| title | 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_short | On reselling of European option |
| title_sort | on reselling of european option |
| url | https://nasplib.isofts.kiev.ua/handle/123456789/4459 |
| work_keys_str_mv | AT kukushag onresellingofeuropeanoption AT mishurayus onresellingofeuropeanoption AT shevchenkogm onresellingofeuropeanoption |