On Feedback Effects from Hedging Derivatives

• 5 January 1998
• journal article
• Published by Wiley in Mathematical Finance
• Vol. 8  (1) , 67-84
• https://doi.org/10.1111/1467-9965.00045

Abstract

Keywords

• OPTION PRICING
• BLACK–SCHOLES FORMULA
• IMPLIED VOLATILITY
• SMILE
• SKEWNESS
• STOCHASTIC VOLATILITY
• FEEDBACK EFFECTS