Geodesic
Simulation of feedback effects for futures-style options pricing on Moscow Exchange
Čelâbinskij fiziko-matematičeskij žurnal, Tome 3 (2018) no. 4, pp. 379-394.

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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. 
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M. M. Dyshaev; V. E. Fedorov; A. S. Avilovich; D. A. Pletnev. Simulation of feedback effects for futures-style options pricing on Moscow Exchange. Čelâbinskij fiziko-matematičeskij žurnal, Tome 3 (2018) no. 4, pp. 379-394. http://geodesic.mathdoc.fr/item/CHFMJ_2018_3_4_a0/

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