Derivatives pricing with market impact and limit order book
DOI10.1016/J.AUTOMATICA.2017.08.028zbMATH Open1375.93141OpenAlexW3021713328MaRDI QIDQ1678624FDOQ1678624
Authors: Taiga Saito, Akihiko Takahashi 
Publication date: 17 November 2017
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2016/2016cf1013.pdf
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Portfolio theory (91G10) Initial-boundary value problems for second-order parabolic equations (35K20) Microeconomic theory (price theory and economic markets) (91B24) Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20)
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- Option pricing and hedging with execution costs and market impact
- Derivatives pricing with market impact and limit order book
- A transformation approach for solving the Hamilton-Jacobi-Bellman equation in \({\mathcal H}_2\) deterministic and stochastic optimal control of affine nonlinear systems.
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Cited In (9)
- Dynamic trading with Markov liquidity switching
- Stochastic differential game in high frequency market
- Option pricing with linear market impact and nonlinear Black-Scholes equations
- Option pricing and hedging with execution costs and market impact
- Asset liquidity and the valuation of derivative securities
- The price impact of order book events: market orders, limit orders and cancellations
- Optimal portfolio execution problem with stochastic price impact
- Trading strategy with stochastic volatility in a limit order book market
- Derivatives pricing with market impact and limit order book
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