Reselling of European option if the implied volatility varies as Cox-Ingersoll-Ross process
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...
Saved in:
| Date: | 2008 |
|---|---|
| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
Інститут математики НАН України
2008
|
| Online Access: | http://dspace.nbuv.gov.ua/handle/123456789/4573 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | 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. |