The Feedback Effect of Hedging in Illiquid Markets
From MaRDI portal
Publication:4507289
DOI10.1137/S0036139996308534zbMath1136.91407OpenAlexW1977396001MaRDI QIDQ4507289
Paul Wilmott, Philipp J. Schönbucher
Publication date: 18 October 2000
Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0036139996308534
Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26)
Related Items (51)
Option pricing with linear market impact and nonlinear Black-Scholes equations ⋮ Nash competitive equilibria and two-period fund separation ⋮ Lie symmetry analysis of a first-order feedback model of option pricing ⋮ OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT ⋮ THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING ⋮ Analysis of the nonlinear option pricing model under variable transaction costs ⋮ Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function ⋮ Group Analysis of the Guéant and Pu Model of Option Pricing and Hedging ⋮ Lie symmetry reductions and exact solutions of an option-pricing equation for large agents ⋮ General Black-Scholes models accounting for increased market volatility from hedging strategies ⋮ Almost-sure hedging with permanent price impact ⋮ On a Numerical Approximation Scheme for Construction of the Early Exercise Boundary for a Class of Nonlinear Black–Scholes Equations ⋮ No arbitrage conditions and liquidity ⋮ Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation ⋮ A Feedback Model for the Financialization of Commodity Markets ⋮ Understanding the dual formulation for the hedging of path-dependent options with price impact ⋮ GROUP CLASSIFICATION FOR A GENERAL NONLINEAR MODEL OF OPTIONS PRICING ⋮ Hedging of Covered Options with Linear Market Impact and Gamma Constraint ⋮ Market Influence of Portfolio Optimizers ⋮ Optimal investment, derivative demand, and arbitrage under price impact ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Hedging with physical or cash settlement under transient multiplicative price impact ⋮ Unnamed Item ⋮ A Fréchet derivative‐based novel approach to option pricing models in illiquid markets ⋮ Option hedging for small investors under liquidity costs ⋮ Symmetries and exact solutions of a nonlinear pricing options equation ⋮ Nonlinear Parabolic Equations Arising in Mathematical Finance ⋮ Analytical and Numerical Results for American Style of Perpetual Put Options Through Transformation into Nonlinear Stationary Black-Scholes Equations ⋮ Spline approximation method to solve an option pricing problem ⋮ Invariant solutionsof the Gu´eant - Pu model of options pricing and hedging ⋮ An infinite-dimensional model of liquidity in financial markets ⋮ Numerical Methods for Non-Linear Black–Scholes Equations ⋮ Option pricing with an illiquid underlying asset market ⋮ MARKET POWER AND FEEDBACK EFFECTS FROM HEDGING DERIVATIVES ⋮ Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions ⋮ Numerical analysis for Spread option pricing model of markets with finite liquidity: first-order feedback model ⋮ Option Pricing in Illiquid Markets with Jumps ⋮ Matched asymptotic expansions in financial engineering ⋮ Numerical analysis and simulation of option pricing problems modeling illiquid markets ⋮ Modeling stock pinning ⋮ Second-Order Stochastic Target Problems with Generalized Market Impact ⋮ On the numerical solution of nonlinear Black-Scholes equations ⋮ Numerical solution of linear and nonlinear Black-Scholes option pricing equations ⋮ On derivatives with illiquid underlying and market manipulation ⋮ Trader Behavior and its Effect on Asset Price Dynamics ⋮ Nonlinearities in Financial Engineering ⋮ PDE Models for Pricing Stocks and Options With Memory Feedback ⋮ Option pricing for large agents ⋮ Unnamed Item ⋮ Calibration of a nonlinear feedback option pricing model
This page was built for publication: The Feedback Effect of Hedging in Illiquid Markets
