Dynamic bid-ask pricing under Dempster-Shafer uncertainty
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Publication:6170042
DOI10.1016/j.jmateco.2023.102871zbMath1521.91116OpenAlexW4383532827MaRDI QIDQ6170042
Andrea Cinfrignini, Davide Petturiti, Barbara Vantaggi
Publication date: 15 August 2023
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmateco.2023.102871
bid-ask spreadbelief functiondynamic pricing ruletime-homogeneous Markov multiplicative binomial process
Microeconomic theory (price theory and economic markets) (91B24) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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