Mykhailo Pupashenko, Alexander Kukush, “Reselling of european option if the implied volatility varies as Cox-Ingersoll-Ross process”, Theory Stoch. Process., 2008, Volume 14(30), Issue 4,Pages <nobr>114

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

Mykhailo Pupashenko^a, Alexander Kukush^b

^a Department of Probability Theory and Mathematical Statistics, National Taras Shevchenko University of Kyiv, Volodymyrska st. 64, 01033 Kyiv, Ukraine
^b Department of Mathematical Analysis, National Taras Shevchenko University of Kyiv, Volodymyrska st. 64, 01033 Kyiv, Ukraine.

MSC: 62P05, 65C50, 91B28

Language: English