Abstract:
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.