On reselling of European option
Vernadsky National Library of Ukraine
Переглянути архів Інформація| Поле | Співвідношення | |
| Title |
On reselling of European option
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| Creator |
Kukush, A.G.
Mishura, Yu.S. Shevchenko, G.M. |
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| 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. 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. |
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| Date |
2009-11-11T15:21:39Z
2009-11-11T15:21:39Z 2006 |
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| Type |
Article
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| Identifier |
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.
0321-3900 http://dspace.nbuv.gov.ua/handle/123456789/4459 |
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| Language |
en
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| Publisher |
Інститут математики НАН України
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