Pricing European options in a discrete time model for the limit order book

DOI10.1007/S11009-017-9610-3MaRDI QIDQ2283686zbMATH OpenOpenAlexFDO

Authors Clarence Simard, Bruno Rémillard

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

arbitragehedginglimit order bookliquiditymathematical modelpricing

Mathematics Subject Classification ID

Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A general version of the fundamental theorem of asset pricing
• Duality and convergence for binomial markets with friction
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• Hedging in an illiquid binomial market
• Hedging options for a large investor and forward-backward SDE's
• scientific article; zbMATH DE number 2107836 (Why is no real title available?)
• Liquidity in a binomial market
• Liquidity risk and arbitrage pricing theory
• Liquidity risk, price impacts and the replication problem
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
• Optimal Execution in a General One-Sided Limit-Order Book
• Optimal trade execution in illiquid markets
• Option hedging for small investors under liquidity costs
• Pricing European options in a discrete time model for the limit order book
• Stochastic calculus for finance. II: Continuous-time models.

Cited in

(4)

• Pricing European call options under a hard-to-borrow stock model
• Pricing European options in a discrete time model for the limit order book
• Pricing of proactive hedging European option with dynamic discrete position strategy
• Multivariate Hawkes-based models in limit order book: European and spread option pricing

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