Feedback options in nonlinear numerical finance

Publikation: Bidrag til tidsskriftKonferenceartikelfagfællebedømt

  • Jens Hugger
  • Sima Mashayekhi
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™.
Bidragets oversatte titelFeedback optioner i ikkelineær numerisk finansiering
OriginalsprogEngelsk
TidsskriftA I P Conference Proceedings
Vol/bind1479
Udgave nummer1
Sider (fra-til)2266–2269
ISSN1551-7616
DOI
StatusUdgivet - 2012

ID: 374175470