Calibration of a nonlinear feedback option pricing model

DOI10.1080/14697680601019522MaRDI QIDQ3439871zbMATH OpenOpenAlexFDO

Authors Simona Sanfelici

Publication date 18 May 2007

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680601019522

zbMATH Keywords

implied volatilitiesnumerical methods for option pricingoption pricingoption pricing via simulationparameter estimation techniquespartial differential equationsquantitative finance

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Nonlinear feedback effects by hedging strategies
• On Feedback Effects from Hedging Derivatives
• OPTION PRICING WITH FEEDBACK EFFECTS
• On nonlinear models of markets with finite liquidity: some cautionary notes
• Simulation of feedback effects for futures-style options pricing on Moscow exchange

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A Microeconomic Approach to Diffusion Models For Stock Prices
• General Black-Scholes models accounting for increased market volatility from hedging strategies
• Hedging options for a large investor and forward-backward SDE's
• Market volatility and feedback effects from dynamic hedging
• On the convergence of interior-reflective Newton methods for nonlinear minimization subject to bounds
• Option pricing when underlying stock returns are discontinuous
• OPTION PRICING WITH FEEDBACK EFFECTS
• Perfect option hedging for a large trader
• Post-'87 crash fears in the S\&P 500 futures option market
• Robustness of the Black and Scholes Formula
• The Feedback Effect of Hedging in Illiquid Markets
• The pricing of options and corporate liabilities

Cited in

(9)

• An application of nonparametric volatility estimators to option pricing
• Assessing the quality of volatility estimators via option pricing
• Calibrating the model parameters in pricing using the trust region method
• On Feedback Effects from Hedging Derivatives
• Calibrating the Black-Derman-Toy model: some theoretical results
• Simulation of feedback effects for futures-style options pricing on Moscow exchange
• scientific article; zbMATH DE number 7108979 (Why is no real title available?)
• Nonlinear feedback effects by hedging strategies
• Specification tests of calibrated option pricing models

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