On feedback effects from hedging derivatives

Mathematical Finance

Volumn 8, Issue 1, 1998, Pages 67-84

  Platen, Eckhard ^a   Schweizer, Martin ^b  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

^b TECHNISCHE UNIVERSITÄT BERLIN   (Germany)

Author keywords

Black Scholes formula; Feedback effects; Implied volatility; Option pricing; Skewness; Smile; Stochastic volatility

Indexed keywords

EID: 0032221568     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00045     Document Type: Article

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