Option pricing with market impact and non-linear Black and Scholes pde's
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 \cite{CheriSonTouz}. Numerical simulations are then performed.
Year of publication: |
2013-01
|
---|---|
Authors: | Loeper, Gregoire |
Institutions: | arXiv.org |
Saved in:
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