On reselling of European option

dc.contributor.author	Kukush, A.G.
dc.contributor.author	Mishura, Yu.S.
dc.contributor.author	Shevchenko, G.M.
dc.date.accessioned	2009-11-11T15:21:39Z
dc.date.available	2009-11-11T15:21:39Z
dc.date.issued	2006
dc.identifier.citation	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.	en_US
dc.identifier.issn	0321-3900
dc.identifier.uri	http://dspace.nbuv.gov.ua/handle/123456789/4459
dc.description.abstract	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_US
dc.language.iso	en	en_US
dc.publisher	Інститут математики НАН України	en_US
dc.title	On reselling of European option	en_US
dc.type	Article	en_US
dc.status	published earlier	en_US