Market volatility and feedback effects from dynamic hedging
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- On the numerical solution of nonlinear Black-Scholes equations
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- Volatility misspecification, option pricing and superreplication via coupling
- Option pricing with linear market impact and nonlinear Black-Scholes equations
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- Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function
- Fast computational approach to the delta Greek of non-linear Black-Scholes equations
- Option pricing for a large trader with price impact and liquidity costs
- A risk-neutral equilibrium leading to uncertain volatility pricing
- Perfect hedging under endogenous permanent market impacts
- Nash competitive equilibria and two-period fund separation
- Microfoundations for diffusion price processes
- Pricing in an equilibrium based model for a large investor
- An infinite-dimensional model of liquidity in financial markets
- Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset
- Robust numerical algorithm to the European option with illiquid markets
- A nonlinear option pricing model through the Adomian decomposition method
- A model for a large investor trading at market indifference prices. I: Single-period case
- Probabilistic approach to solution of nonlinear PDEs arising in financial mathematics
- Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values
- Matched asymptotic expansions in financial engineering
- Hedging in an illiquid binomial market
- No arbitrage conditions and liquidity
- Illiquid financial market models and absence of arbitrage
- On a numerical approximation scheme for construction of the early exercise boundary for a class of nonlinear Black-Scholes equations
- Symmetry Breaking for Black–Scholes Equations
- Hedging costs for two large investors
- MARKET POWER AND FEEDBACK EFFECTS FROM HEDGING DERIVATIVES
- The cost of illiquidity and its effects on hedging
- A feedback model for the financialization of commodity markets
- Trader Behavior and its Effect on Asset Price Dynamics
- Calibration of a nonlinear feedback option pricing model
- EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES
- MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
- Market Influence of Portfolio Optimizers
- Numerical methods for non-linear Black-Scholes equations
- Modeling stock pinning
- Partial hedging in financial markets with a large agent
- Conditional distributions, exchangeable particle systems, and stochastic partial differential equations
- On Feedback Effects from Hedging Derivatives
- The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
- The Feedback Effect of Hedging in Illiquid Markets
- Why can margin requirements increase volatility and benefit margin constrained investors?
- Group classification for a general nonlinear model of option pricing
- Technical trading and the volatility of exchange rates
- Nonlinear Parabolic Equations Arising in Mathematical Finance
- Analytical and Numerical Results for American Style of Perpetual Put Options Through Transformation into Nonlinear Stationary Black-Scholes Equations
- Dilution, anti-dilution and corporate positions in options on the company's own stocks
- Liquidity in a binomial market
- On some option pricing models on illiquid markets
- Simulation of feedback effects for futures-style options pricing on Moscow exchange
- Symmetries and exact solutions of a nonlinear pricing options equation
- On measuring the cost of liquidity in the limit order book
- Analytical solutions of a time-fractional nonlinear transaction-cost model for stock option valuation in an illiquid market setting driven by a relaxed Black–Scholes assumption
- A financial market of a stochastic delay equation
- AN EQUILIBRIUM-BASED MODEL OF STOCK-PINNING
- Nonhypoellipticity and comparison principle for partial differential equations of Black-Scholes type
- Optimal discrete hedging in Garman-Kohlhagen model with liquidity risk
- MARKUPS AND THE REAL EFFECTS OF VOLATILITY SHOCKS
- Arbitrage-free interval and dynamic hedging in an illiquid market
- Nonlinear feedback effects by hedging strategies
- PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING
- INFORMED OPPORTUNISTIC TRADING AND PRICE OPTIMAL CONTROL
- Option pricing in illiquid markets with jumps
- A market model with medium/long-term effects due to an insider
- Optimal investment, derivative demand, and arbitrage under price impact
- Symmetry analysis of the option pricing model with dividend yield from financial markets
- Large traders and illiquid options: hedging vs. manipulation
- Gamma positioning and market quality
- High order Semi-IMEX BDF schemes for nonlinear partial integro-differential equations arising in finance
- A model for a large investor trading at market indifference prices. II: Continuous-time case.
- Towards a self-consistent theory of volatility
- Numerical analysis and simulation of option pricing problems modeling illiquid markets
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