A Leland model for delta hedging in central risk books

DOI10.1111/mafi.12395zbMath1529.91069OpenAlexW4376139003MaRDI QIDQ6146669

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Publication date: 31 January 2024

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12395

zbMATH Keywords

adverse selectionmarket microstructuremarket makinglimit ordersmarket orderscentral risk book

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)

Cites Work

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• Algorithmic Trading and Quantitative Strategies
• RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES
• Optimal high-frequency trading with limit and market orders

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