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Chelyabinskiy Fiziko-Matematicheskiy Zhurnal, 2018, Volume 3, Issue 4, Pages 379–394
DOI: https://doi.org/10.24411/2500-0101-2018-13401 (Mi chfmj113) 		 
Mathematics

Simulation of feedback effects for futures-style options pricing on Moscow Exchange

M. M. Dyshaev, V. E. Fedorov, A. S. Avilovich, D. A. Pletnev

Chelyabinsk State University, Chelyabinsk, Russia
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DOI: https://doi.org/10.24411/2500-0101-2018-13401
Abstract: Some models of the pricing of futures-style options with feedback effects that arise due to insufficient market liquidity or due to the actions of a large trader are considered. Analytical and numerical solutions for the option price are presented. A method was developed and demonstrated that makes it possible to compare actual data on transactions with the results of numerical experiments of the models in question.
Keywords: futures-style option, options pricing, nonlinear Black — Scholes type model, illiquid market.
Received: 20.06.2018
Revised: 14.08.2018
Document Type: Article
UDC: 51-77+336.76
Language: Russian
Citation: M. M. Dyshaev, V. E. Fedorov, A. S. Avilovich, D. A. Pletnev, “Simulation of feedback effects for futures-style options pricing on Moscow Exchange”, Chelyab. Fiz.-Mat. Zh., 3:4 (2018), 379–394
Citation in format AMSBIB
\Bibitem{DysFedAvi18}
\by M.~M.~Dyshaev, V.~E.~Fedorov, A.~S.~Avilovich, D.~A.~Pletnev
\paper Simulation of feedback effects for futures-style options pricing on Moscow Exchange
\jour Chelyab. Fiz.-Mat. Zh.
\yr 2018
\vol 3
\issue 4
\pages 379--394
\mathnet{http://mi.mathnet.ru/chfmj113}
\crossref{https://doi.org/10.24411/2500-0101-2018-13401}
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