Derivatives pricing with market impact and limit order book (Q1678624)

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Derivatives pricing with market impact and limit order book
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    title
    Derivatives pricing with market impact and limit order book (English)
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    author
    Taiga Saito
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    Akihiko Takahashi
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    published in
    Automatica
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    publication date
    17 November 2017
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    Mathematics Subject Classification ID
    93E20
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    91G10
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    91B24
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    93C20
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    35K20
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    zbMATH DE Number
    6808555
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    zbMATH Keywords
    stochastic control
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    application in finance
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    derivatives pricing
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    OpenAlex ID
    W3021713328
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