Simulation of feedback effects for futures-style options pricing on Moscow exchange. (Russian. English summary) Zbl 1465.91111

Summary: Some models of the pricing of futures-style options with feedback effects that arise due to insufficient market liquidity or due to the actions of a large trader are considered. Analytical and numerical solutions for the option price are presented. A method was developed and demonstrated that makes it possible to compare actual data on transactions with the results of numerical experiments of the models in question.


91G20 Derivative securities (option pricing, hedging, etc.)
35A30 Geometric theory, characteristics, transformations in context of PDEs
35C05 Solutions to PDEs in closed form
35K55 Nonlinear parabolic equations
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