Feedback options in nonlinear numerical finance
Research output: Contribution to journal › Conference article › Research › peer-review
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
Translated title of the contribution | Feedback optioner i ikkelineær numerisk finansiering |
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Original language | English |
Journal | A I P Conference Proceedings |
Volume | 1479 |
Issue number | 1 |
Pages (from-to) | 2266–2269 |
ISSN | 1551-7616 |
DOIs | |
Publication status | Published - 2012 |
- Faculty of Science
Research areas
ID: 374175470