Feedback options in nonlinear numerical finance

TY - CONF

T1 - Feedback options in nonlinear numerical finance

AU - Hugger, Jens

AU - Mashayekhi, Sima

PY - 2012/9/1

Y1 - 2012/9/1

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

M3 - Paper

ER -