Feedback options in nonlinear numerical finance

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Standard

Feedback options in nonlinear numerical finance. / Hugger, Jens; Mashayekhi, Sima.

I: A I P Conference Proceedings, Bind 1479, Nr. 1, 2012, s. 2266–2269.

Publikation: Bidrag til tidsskrift › Konferenceartikel › Forskning › fagfællebedømt

Harvard

Hugger, J & Mashayekhi, S 2012, 'Feedback options in nonlinear numerical finance', A I P Conference Proceedings, bind 1479, nr. 1, s. 2266–2269. https://doi.org/10.1063/1.4756645

APA

Hugger, J., & Mashayekhi, S. (2012). Feedback options in nonlinear numerical finance. A I P Conference Proceedings, 1479(1), 2266–2269. https://doi.org/10.1063/1.4756645

Vancouver

Hugger J, Mashayekhi S. Feedback options in nonlinear numerical finance. A I P Conference Proceedings. 2012;1479(1):2266–2269. https://doi.org/10.1063/1.4756645

Author

Hugger, Jens ; Mashayekhi, Sima. / Feedback options in nonlinear numerical finance. I: A I P Conference Proceedings. 2012 ; Bind 1479, Nr. 1. s. 2266–2269.

Bibtex

@inproceedings{a2c23aeda1a84442ada9cc20b8ff7389,
title = "Feedback options in nonlinear numerical finance",
abstract = "Feedback options are options where information about the trading of the underlying asset is fed back into the pricing model. This results in nonlinear pricing models. A survey of the literature about feedback options in finance is presented. The pricing model for the full feedback option on an infinite slab is presented and boundary values on a bounded domain are derived. This bounded, nonlinear, 2 dimensional initial-boundary value problem is solved numerically using a number of standard finite difference schemes and the methods incorporated in the symbolic software Maple{trade mark, serif",
keywords = "Faculty of Science, Nonlinear PDE{\textquoteright}s, Feedback option, boundary value problem, numerical solution",
author = "Jens Hugger and Sima Mashayekhi",
year = "2012",
doi = "10.1063/1.4756645",
language = "English",
volume = "1479",
pages = "2266–2269",
journal = "A I P Conference Proceedings",
issn = "1551-7616",
publisher = "American Institute of Physics",
number = "1",

}

RIS

TY - GEN

T1 - Feedback options in nonlinear numerical finance

AU - Hugger, Jens

AU - Mashayekhi, Sima

PY - 2012

Y1 - 2012

N2 - Feedback options are options where information about the trading of the underlying asset is fed back into the pricing model. This results in nonlinear pricing models. A survey of the literature about feedback options in finance is presented. The pricing model for the full feedback option on an infinite slab is presented and boundary values on a bounded domain are derived. This bounded, nonlinear, 2 dimensional initial-boundary value problem is solved numerically using a number of standard finite difference schemes and the methods incorporated in the symbolic software Maple{trade mark, serif

AB - Feedback options are options where information about the trading of the underlying asset is fed back into the pricing model. This results in nonlinear pricing models. A survey of the literature about feedback options in finance is presented. The pricing model for the full feedback option on an infinite slab is presented and boundary values on a bounded domain are derived. This bounded, nonlinear, 2 dimensional initial-boundary value problem is solved numerically using a number of standard finite difference schemes and the methods incorporated in the symbolic software Maple{trade mark, serif

KW - Faculty of Science

KW - Nonlinear PDE’s

KW - Feedback option

KW - boundary value problem

KW - numerical solution

U2 - 10.1063/1.4756645

DO - 10.1063/1.4756645

M3 - Conference article

VL - 1479

SP - 2266

EP - 2269

JO - A I P Conference Proceedings

JF - A I P Conference Proceedings

SN - 1551-7616

IS - 1

ER -

ID: 374175470