A numerical study of the smile effect in implied volatilities induced by a nonlinear feedback model
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Bibliographic InfoPaper provided by Department of Economics, Parma University (Italy) in its series Economics Department Working Papers with number 2004-ME01.
Length: 13 pages
Date of creation: 2004
Date of revision:
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- Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, vol. 49(1), pages 33-83, October.
- Rüdiger Frey & Alexander Stremme, 1997. "Market Volatility and Feedback Effects from Dynamic Hedging," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 351-374.
- N. Hofmann & E. Platen & M. Schweizer, 1992.
"Option Pricing under Incompleteness and Stochastic Volatility,"
Discussion Paper Serie B
209, University of Bonn, Germany.
- Norbert Hofmann & Eckhard Platen & Martin Schweizer, 1992. "Option Pricing Under Incompleteness and Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 2(3), pages 153-187.
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