On Nonlinear Models of Markets with Finite Liquidity: Some Cautionary Notes
DOI10.1137/080736119zbMath1285.91126OpenAlexW2015982040MaRDI QIDQ5392360
Kristoffer J. Glover, David P. Newton, Peter W. Duck
Publication date: 8 April 2011
Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10453/13026
asymptotic analysisnumerical techniquesprice impactoption valuationilliquid marketsmarket feedbacknonlinear finance
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26)
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