Derivatives pricing with market impact and limit order book

DOI10.1016/J.AUTOMATICA.2017.08.028MaRDI QIDQ1678624zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

stochastic controlderivatives pricingapplication in finance

Mathematics Subject Classification ID

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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Cites work

• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 5207903 (Why is no real title available?)
• A radial basis collocation method for Hamilton-Jacobi-Bellman equations
• A transformation approach for solving the Hamilton-Jacobi-Bellman equation in \({\mathcal H}_2\) deterministic and stochastic optimal control of affine nonlinear systems.
• Asymptotic expansion approach in finance
• Derivatives pricing with market impact and limit order book
• Double exponential formulas for numerical integration
• Galerkin approximations of the generalized Hamilton-Jacobi-Bellman equation
• HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
• No-dynamic-arbitrage and market impact
• Option pricing and hedging with execution costs and market impact
• Stochastic optimal control via Bellman's principle.
• The cost of illiquidity and its effects on hedging

Cited in

(9)

• Trading strategy with stochastic volatility in a limit order book market
• The price impact of order book events: market orders, limit orders and cancellations
• Dynamic trading with Markov liquidity switching
• Option pricing with linear market impact and nonlinear Black-Scholes equations
• Asset liquidity and the valuation of derivative securities
• Option pricing and hedging with execution costs and market impact
• Stochastic differential game in high frequency market
• Derivatives pricing with market impact and limit order book
• Optimal portfolio execution problem with stochastic price impact

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