Derivatives pricing with market impact and limit order book

DOI10.1016/j.automatica.2017.08.028zbMath1375.93141OpenAlexW3021713328MaRDI QIDQ1678624

Taiga Saito, Akihiko Takahashi

Publication date: 17 November 2017

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2016/2016cf1013.pdf

zbMATH Keywords

stochastic controlderivatives pricingapplication in finance

Mathematics Subject Classification ID

Control/observation systems governed by partial differential equations (93C20) Initial-boundary value problems for second-order parabolic equations (35K20) Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Portfolio theory (91G10)

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Derivatives pricing with market impact and limit order book ⋮ Dynamic trading with Markov liquidity switching ⋮ Stochastic differential game in high frequency market ⋮ Optimal portfolio execution problem with stochastic price impact ⋮ Trading strategy with stochastic volatility in a limit order book market

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