Reselling of European option if the implied volatility varies as Cox-Ingersoll-Ross process
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. In Kukush et al. (2006) On reselling of European option, Theory Stoch. Process., 12(28), 75-87, a similar problem was investigate...
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| Дата: | 2008 |
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| Автори: | , |
| Формат: | Стаття |
| Мова: | Англійська |
| Опубліковано: |
Інститут математики НАН України
2008
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| Онлайн доступ: | https://nasplib.isofts.kiev.ua/handle/123456789/4573 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Цитувати: | Reselling of European option if the implied volatility varies as Cox-Ingersoll-Ross process / M. Pupashenko, A. Kukush // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 3-4. — С. 114-128. — Бібліогр.: 6 назв.— англ. |
Репозитарії
Digital Library of Periodicals of National Academy of Sciences of Ukraine| _version_ | 1862709543551631360 |
|---|---|
| author | Pupashenko, M. Kukush, A. |
| author_facet | Pupashenko, M. Kukush, A. |
| citation_txt | Reselling of European option if the implied volatility varies as Cox-Ingersoll-Ross process / M. Pupashenko, A. Kukush // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 3-4. — С. 114-128. — Бібліогр.: 6 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. In Kukush et al. (2006) On reselling of European option, Theory Stoch. Process., 12(28), 75-87, a similar problem was investigated for another model of the market price. We propose a more realistic model based on Cox-Ingersoll-Ross process. Discrete approximation for this model is investigated, which is arbitrage–free. For this discrete model, a formula for penultimate optimal stopping domains is derived.
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| first_indexed | 2025-12-07T17:17:50Z |
| format | Article |
| fulltext | |
| id | nasplib_isofts_kiev_ua-123456789-4573 |
| institution | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| issn | 0321-3900 |
| language | English |
| last_indexed | 2025-12-07T17:17:50Z |
| publishDate | 2008 |
| publisher | Інститут математики НАН України |
| record_format | dspace |
| spelling | Pupashenko, M. Kukush, A. 2009-12-07T15:37:58Z 2009-12-07T15:37:58Z 2008 Reselling of European option if the implied volatility varies as Cox-Ingersoll-Ross process / M. Pupashenko, A. Kukush // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 3-4. — С. 114-128. — Бібліогр.: 6 назв.— англ. 0321-3900 https://nasplib.isofts.kiev.ua/handle/123456789/4573 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. In Kukush et al. (2006) On reselling of European option, Theory Stoch. Process., 12(28), 75-87, a similar problem was investigated for another model of the market price. We propose a more realistic model based on Cox-Ingersoll-Ross process. Discrete approximation for this model is investigated, which is arbitrage–free. For this discrete model, a formula for penultimate optimal stopping domains is derived. en Інститут математики НАН України Reselling of European option if the implied volatility varies as Cox-Ingersoll-Ross process Article published earlier |
| spellingShingle | Reselling of European option if the implied volatility varies as Cox-Ingersoll-Ross process Pupashenko, M. Kukush, A. |
| title | Reselling of European option if the implied volatility varies as Cox-Ingersoll-Ross process |
| title_full | Reselling of European option if the implied volatility varies as Cox-Ingersoll-Ross process |
| title_fullStr | Reselling of European option if the implied volatility varies as Cox-Ingersoll-Ross process |
| title_full_unstemmed | Reselling of European option if the implied volatility varies as Cox-Ingersoll-Ross process |
| title_short | Reselling of European option if the implied volatility varies as Cox-Ingersoll-Ross process |
| title_sort | reselling of european option if the implied volatility varies as cox-ingersoll-ross process |
| url | https://nasplib.isofts.kiev.ua/handle/123456789/4573 |
| work_keys_str_mv | AT pupashenkom resellingofeuropeanoptioniftheimpliedvolatilityvariesascoxingersollrossprocess AT kukusha resellingofeuropeanoptioniftheimpliedvolatilityvariesascoxingersollrossprocess |