OPTION PRICING WITH FEEDBACK EFFECTS

DOI10.1142/S0219024904002633zbMath1101.91043OpenAlexW2071053534MaRDI QIDQ4653573

Alexander Lyukov

Publication date: 7 March 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024904002633

zbMATH Keywords

stochastic volatilityvolatility smileliquidityBlack-Scholes formulaOption pricingfeedbacks effects

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Calibration of a nonlinear feedback option pricing model

Cites Work

• Predicting Equity Liquidity
• Continuous Auctions and Insider Trading
• On Feedback Effects from Hedging Derivatives

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