Nonlinear feedback effects by hedging strategies

MaRDI QIDQ5486568zbMATH OpenFDO

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

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)

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Cited in

(9)

• 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
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• scientific article; zbMATH DE number 1827980 (Why is no real title available?)
• Hedging claims with feedback jumps in the price process
• 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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