OPTION PRICING WITH FEEDBACK EFFECTS

DOI10.1142/S0219024904002633MaRDI QIDQ4653573zbMATH OpenOpenAlexFDO

Authors Alexander Lyukov

Publication date 7 March 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024904002633

zbMATH Keywords

Black-Scholes formulafeedbacks effectsliquidityOption pricingstochastic volatilityvolatility smile

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

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Cites work

• Continuous Auctions and Insider Trading
• On Feedback Effects from Hedging Derivatives
• Predicting equity liquidity

Cited in

(8)

• Option pricing impact of alternative continuous-time dynamics
• Resonance phenomena in option pricing with arbitrage
• The pricing of options for securities markets with delayed response
• Option pricing model with sentiment
• Calibration of a nonlinear feedback option pricing model
• A market-induced mechanism for stock pinning
• PDE models for pricing stocks and options with memory feedback
• Simulation of feedback effects for futures-style options pricing on Moscow exchange

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