On Feedback Effects from Hedging Derivatives
From MaRDI portal
Publication:4213033
DOI10.1111/1467-9965.00045zbMath0908.90016MaRDI QIDQ4213033
Martin Schweizer, Eckhard Platen
Publication date: 29 November 1998
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00045
stochastic volatility; option pricing; stochastic differential equations; hedging strategies; Black-Scholes formula; diffusion model for stock prices; smile and skewness effects
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability, OPTION PRICING WITH FEEDBACK EFFECTS, High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation, AN EQUILIBRIUM-BASED MODEL OF STOCK-PINNING, Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation, PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING, Option pricing with an illiquid underlying asset market, Numerical solution of linear and nonlinear Black-Scholes option pricing equations, Option pricing for a logstable asset price model, Post-'87 crash fears in the S\&P 500 futures option market, A model of optimal portfolio selection under liquidity risk and price impact, MARKET POWER AND FEEDBACK EFFECTS FROM HEDGING DERIVATIVES, MODELING LIQUIDITY EFFECTS IN DISCRETE TIME, Market Influence of Portfolio Optimizers, Modeling stock pinning
