A Leland model for delta hedging in central risk books
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Cites work
- A stochastic model for order book dynamics
- Algorithmic trading and quantitative strategies
- Discretization of processes.
- Hedge and speculate: replicating option payoffs with limit and market orders
- scientific article; zbMATH DE number 1061253 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
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- Optimal execution with limit and market orders
- Optimal hedging through limit orders
- Optimal high-frequency trading with limit and market orders
- Optimal liquidity provision
- Optimal order placement in limit order markets
- Optimal portfolio liquidation with limit orders
- Optimal portfolios of a small investor in a limit order market: a shadow price approach
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- Relation between bid–ask spread, impact and volatility in order-driven markets
- Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs
- Risk metrics and fine tuning of high-frequency trading strategies
- The self-financing equation in limit order book markets
- When to cross the spread? Trading in two-sided limit order books
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