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Applying the barycentric Jacobi spectral method to price options with transaction costs in a fractional Black-Scholes framework

Nteumagné, B. F.; Pindza, E.; Maré, E. - In: Journal of mathematical finance 4 (2014) 1, pp. 35-46

Persistent link: https://www.econbiz.de/10010422895

Game theoretic analysis of incomplete markets : emergence of probabilities, nonlinear and fractional Black-Scholes equations

Kolokolʹcov, Vassilij N. - In: Risk and decision analysis 4 (2013) 3, pp. 131-161

Persistent link: https://www.econbiz.de/10010190161

Analytical and numerical solutions for a special nonlinear equation

Fard, Hossein Sahebi; Dastranj, Elham; Hejazi, Reza; … - In: International journal of financial engineering 11 (2024) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10014521393

Calibration of a Nonlinear Feedback Option Pricing Model

Sanfelici, Simona - 2013

We consider an option pricing model proposed by, where the implementation of dynamic hedging strategies has a feedback impact on the price process of the underlying asset. We present numerical results showing that the smile and skewness patterns of implied volatility can actually be reproduced...

Persistent link: https://www.econbiz.de/10013084284