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. 
@article{CHFMJ_2018_3_4_a0,
     author = {M. M. Dyshaev and V. E. Fedorov and A. S. Avilovich and D. A. Pletnev},
     title = {Simulation of feedback effects for futures-style options pricing on {Moscow} {Exchange}},
     journal = {\v{C}el\^abinskij fiziko-matemati\v{c}eskij \v{z}urnal},
     pages = {379--394},
     publisher = {mathdoc},
     volume = {3},
     number = {4},
     year = {2018},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/CHFMJ_2018_3_4_a0/}
}
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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/