Reselling of European option if the implied volatility varies as Cox-Ingersoll-Ross process

• Дата: 2008
• Автори: Pupashenko, M., Kukush, A.
• Формат: Стаття
• Мова: Англійська
• Опубліковано: Інститут математики НАН України 2008
• Онлайн доступ: https://nasplib.isofts.kiev.ua/handle/123456789/4573
• 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.

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...