Nonlinear feedback effects by hedging strategies

zbMATH Open1189.91211MaRDI QIDQ5486568FDOQ5486568

Authors: Maria Elvira Mancino, Shigeyoshi Ogawa 

Publication date: 11 September 2006

Full work available at URL: http://ebooks.worldscinet.com/ISBN/9789812702852/9789812702852_0012.html

Recommendations

• The Feedback Effect of Hedging in Illiquid Markets
• Market volatility and feedback effects from dynamic hedging
• Calibration of a nonlinear feedback option pricing model
• On Feedback Effects from Hedging Derivatives
• MARKET POWER AND FEEDBACK EFFECTS FROM HEDGING DERIVATIVES

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Cited In (8)

• Calibration of a nonlinear feedback option pricing model
• The Feedback Effect of Hedging in Illiquid Markets
• Assessing the quality of volatility estimators via option pricing
• Market volatility and feedback effects from dynamic hedging
• Title not available (Why is that?)
• Frequent hedging under transaction costs and a nonlinear Fokker-Planck PDE
• Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff
• MARKET POWER AND FEEDBACK EFFECTS FROM HEDGING DERIVATIVES

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