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A numerical study of the smile effect in implied volatilities induced by a nonlinear feedback model

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  • M. E. Mancino
  • S. Ogawa
  • S. Sanfelici

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  • M. E. Mancino & S. Ogawa & S. Sanfelici, 2004. "A numerical study of the smile effect in implied volatilities induced by a nonlinear feedback model," Economics Department Working Papers 2004-ME01, Department of Economics, Parma University (Italy).
    • Handle: RePEc:par:dipeco:2004-me01
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    File URL: http://swrwebeco.econ.unipr.it/RePEc/pdf/IV_2004-01.pdf
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    References listed on IDEAS

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    1. Norbert Hofmann & Eckhard Platen & Martin Schweizer, 1992. "Option Pricing Under Incompleteness and Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 2(3), pages 153-187, July.
    2. Nicole El Karoui & Monique Jeanblanc‐Picquè & Steven E. Shreve, 1998. "Robustness of the Black and Scholes Formula," Mathematical Finance, Wiley Blackwell, vol. 8(2), pages 93-126, April.
    3. Rüdiger Frey & Alexander Stremme, 1997. "Market Volatility and Feedback Effects from Dynamic Hedging," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 351-374, October.
    4. Hans Föllmer & Martin Schweizer, 1993. "A Microeconomic Approach to Diffusion Models For Stock Prices," Mathematical Finance, Wiley Blackwell, vol. 3(1), pages 1-23, January.
    5. 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.
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