Pricing European options in a discrete time model for the limit order book

DOI10.1007/s11009-017-9610-3zbMath1430.91115MaRDI QIDQ2283686

Bruno Rémillard, Clarence Simard

Publication date: 13 January 2020

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-017-9610-3

zbMATH Keywords

hedging; mathematical model; arbitrage; pricing; liquidity; limit order book

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

91G10: Portfolio theory

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Pricing European options in a discrete time model for the limit order book

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