Option Pricing with Market Impact and Non-linear Black and Scholes Pdes’s
نویسنده
چکیده
We propose a few variations around a simple model in order to take into account the market impact of the option seller when hedging an option. This ”retro-action” mechanism turns the linear Black and Scholes PDE into a non-linear one. This model allows also to retrieve some earlier results of [9]. Numerical simulations are then performed.
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تاریخ انتشار 2013