Abstract
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 |
| Publikationsdato | 1 sep. 2012 |
| Antal sider | 4 |
| Status | Udgivet - 1 sep. 2012 |
Emneord
- Det Natur- og Biovidenskabelige Fakultet
- Nonlinear PDE’s
- Feedback option
- boundary value problem
- numerical solution