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Dyshaev, Mikhail Mikhaĭlovich; Fedorov, Vladimir Evgen’evich; Avilovich, Anna Sergeevna; Pletnëv, Dmitriĭ Aleksandrovich

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

Chelyabinskiĭ Fiz.-Mat. Zh. 3, No. 4, 379-394 (2018).
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.

MSC:

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

Keywords:

futures-style option; options pricing; nonlinear Black-Scholes type model; illiquid market
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\textit{M. M. Dyshaev} et al., Chelyabinskiĭ Fiz.-Mat. Zh. 3, No. 4, 379--394 (2018; Zbl 1465.91111)
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References:

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