Feedback options in nonlinear numerical finance
Research output: Contribution to journal › Conference article › Research › peer-review
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Feedback options in nonlinear numerical finance. / Hugger, Jens; Mashayekhi, Sima.
In: A I P Conference Proceedings, Vol. 1479, No. 1, 2012, p. 2266–2269.Research output: Contribution to journal › Conference article › Research › peer-review
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TY - GEN
T1 - Feedback options in nonlinear numerical finance
AU - Hugger, Jens
AU - Mashayekhi, Sima
PY - 2012
Y1 - 2012
N2 - 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{trade mark, serif
AB - 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{trade mark, serif
KW - Faculty of Science
KW - Nonlinear PDE’s
KW - Feedback option
KW - boundary value problem
KW - numerical solution
U2 - 10.1063/1.4756645
DO - 10.1063/1.4756645
M3 - Conference article
VL - 1479
SP - 2266
EP - 2269
JO - A I P Conference Proceedings
JF - A I P Conference Proceedings
SN - 1551-7616
IS - 1
ER -
ID: 374175470