مشخصات پژوهش

عنوان	Feedback options in nonlinear numerical finance
نوع پژوهش	مقاله چاپ‌شده
کلیدواژه‌ها	Nonlinear PDE’s, Feedback option, boundary value problem, numerical solution.
چکیده	Feedback options are options where information about the trading of the underlying asset is fed back into the pricing model. This results in nonlinear pricing models. A survey of the literature about feedback options in finance is presented. The pricing model for the full feedback option on an infinite slab is presented and boundary values on a bounded domain are derived. This bounded, nonlinear, 2 dimensional initial-boundary value problem is solved numerically using a number of standard finite difference schemes and the methods incorporated in the symbolic software Maple™.
پژوهشگران	ینس هوگر (نفر اول)، سیما مشایخی (نفر دوم)