On reselling of European option
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 equivalen...
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| Date: | 2006 |
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| Main Authors: | , , |
| Format: | Article |
| Language: | English |
| Published: |
Інститут математики НАН України
2006
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| Online Access: | http://dspace.nbuv.gov.ua/handle/123456789/4459 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | 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. |