A system of quadratic BSDEs arising in a price impact model (Q292906)
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scientific article; zbMATH DE number 6590323
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| English | A system of quadratic BSDEs arising in a price impact model |
scientific article; zbMATH DE number 6590323 |
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A system of quadratic BSDEs arising in a price impact model (English)
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9 June 2016
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quadratic backward stochastic differential equations
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financial model
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price impact
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liquidity
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0.8716210722923279
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0.7920017838478088
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0.7619575262069702
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0.7576607465744019
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0.7544739842414856
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