Convergence of reward functionals in a reselling model for a European option
Анотація
We consider an optimal reselling problem for a European option. A modification of the CoxâIngersollâRoss process is used to model the implied volatility. We construct a two-dimensional binomial-trinomial exponential approximation instead of the discrete approximation proposed by Pupashenko and Kukush (2008) in Theory Stoch. Process.
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