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Theory Stoch. Process., 2008, Volume 14(30), Issue 4, Pages 114–128 (Mi thsp218)  

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

Mykhailo Pupashenkoa, Alexander Kukushb

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.

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MSC: 62P05, 65C50, 91B28
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Citation: Mykhailo Pupashenko, Alexander Kukush, “Reselling of european option if the implied volatility varies as Cox-Ingersoll-Ross process”, Theory Stoch. Process., 14(30):4 (2008), 114–128

Citation in format AMSBIB
\Bibitem{PupKuk08}
\by Mykhailo~Pupashenko, Alexander~Kukush
\paper Reselling of european option if the
implied volatility varies as
Cox-Ingersoll-Ross process
\jour Theory Stoch. Process.
\yr 2008
\vol 14(30)
\issue 4
\pages 114--128
\mathnet{http://mi.mathnet.ru/thsp218}
\mathscinet{http://www.ams.org/mathscinet-getitem?mr=2498609}
\zmath{https://zbmath.org/?q=an:1224.62127}


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  • http://mi.mathnet.ru/eng/thsp/v14/i4/p114

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