Feedback options in nonlinear numerical finance
Publikation: Bidrag til tidsskrift › Konferenceartikel › Forskning › fagfællebedømt
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™.
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™.
Bidragets oversatte titel | Feedback optioner i ikkelineær numerisk finansiering |
---|---|
Originalsprog | Engelsk |
Tidsskrift | A I P Conference Proceedings |
Vol/bind | 1479 |
Udgave nummer | 1 |
Sider (fra-til) | 2266–2269 |
ISSN | 1551-7616 |
DOI | |
Status | Udgivet - 2012 |
- Det Natur- og Biovidenskabelige Fakultet - Nonlinear PDE’s, Feedback option, boundary value problem, numerical solution
Forskningsområder
ID: 374175470