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

dc.contributor.author	Pupashenko, M.
dc.contributor.author	Kukush, A.
dc.date.accessioned	2009-12-07T15:37:58Z
dc.date.available	2009-12-07T15:37:58Z
dc.date.issued	2008
dc.identifier.citation	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.	en_US
dc.identifier.issn	0321-3900
dc.identifier.uri	http://dspace.nbuv.gov.ua/handle/123456789/4573
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. 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_US
dc.language.iso	en	en_US
dc.publisher	Інститут математики НАН України	en_US
dc.title	Reselling of European option if the implied volatility varies as Cox-Ingersoll-Ross process	en_US
dc.type	Article	en_US
dc.status	published earlier	en_US