On Feedback Effects from Hedging Derivatives

DOI10.1111/1467-9965.00045zbMATH Open0908.90016OpenAlexW2152554345MaRDI QIDQ4213033FDOQ4213033

Authors: Eckhard Platen, Martin Schweizer 

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

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zbMATH Keywords

option pricingstochastic differential equationsstochastic volatilityBlack-Scholes formulahedging strategiesdiffusion model for stock pricessmile and skewness effects

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (46)

• The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
• On linear-autonomous symmetries of Guéant-Pu fractional model
• Calibration of a nonlinear feedback option pricing model
• Market Influence of Portfolio Optimizers
• Arbitrage-free interval and dynamic hedging in an illiquid market
• Group analysis of the Guéant and Pu model of option pricing and hedging
• Option hedging for small investors under liquidity costs
• A model for a large investor trading at market indifference prices. II: Continuous-time case.
• HEDGING AND ARBITRAGE WARRANTS UNDER SMILE EFFECTS: ANALYSIS AND EVIDENCE
• Option pricing with linear market impact and nonlinear Black-Scholes equations
• Option pricing and hedging with execution costs and market impact
• High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation
• Option pricing for a large trader with price impact and liquidity costs
• An infinite-dimensional model of liquidity in financial markets
• Technical trading and the volatility of exchange rates
• Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
• Dilution, anti-dilution and corporate positions in options on the company's own stocks
• Hedging in an illiquid binomial market
• Trader Behavior and its Effect on Asset Price Dynamics
• Liquidity in a binomial market
• Nonlinear feedback effects by hedging strategies
• Hedging of American options in illiquid markets with price impacts
• AN EQUILIBRIUM-BASED MODEL OF STOCK-PINNING
• Option pricing with an illiquid underlying asset market
• A model for a large investor trading at market indifference prices. I: Single-period case
• Symmetries and exact solutions of a nonlinear pricing options equation
• Post-'87 crash fears in the S\&P 500 futures option market
• Optimal investment, derivative demand, and arbitrage under price impact
• OPTION PRICING WITH FEEDBACK EFFECTS
• The cost of illiquidity and its effects on hedging
• PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING
• Spline approximation method to solve an option pricing problem
• Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model
• Hedging costs for two large investors
• Market volatility and feedback effects from dynamic hedging
• Pricing in an equilibrium based model for a large investor
• Arbitrage and deflators in illiquid markets
• Numerical solution of linear and nonlinear Black-Scholes option pricing equations
• Modeling stock pinning
• Simulation of feedback effects for futures-style options pricing on Moscow exchange
• MARKET POWER AND FEEDBACK EFFECTS FROM HEDGING DERIVATIVES
• A model of optimal portfolio selection under liquidity risk and price impact
• A feedback model for the financialization of commodity markets
• Option pricing for a logstable asset price model
• MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
• Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset

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