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