On reselling of European option

• Дата: 2006
• Автори: Kukush, A.G., Mishura, Yu.S., Shevchenko, G.M.
• Формат: Стаття
• Мова: Англійська
• Опубліковано: Інститут математики НАН України 2006
• Онлайн доступ: https://nasplib.isofts.kiev.ua/handle/123456789/4459
• Назва журналу: Digital Library of Periodicals of National Academy of Sciences of Ukraine
• 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.

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...