Derivatives pricing with market impact and limit order book
type: Item
instance of: scholarly article
title: Derivatives pricing with market impact and limit order book
zbMATH Open document ID: 1375.93141
author: Taiga Saito
author: Akihiko Takahashi
published in: Automatica
publication date: 2017-11-17T00:00:00Z
full work available at URL: 2016cf1013.pdf
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 93C20
Mathematics Subject Classification ID: 35K20
zbMATH DE Number: 6808555
zbMATH Keywords: stochastic control
zbMATH Keywords: application in finance
zbMATH Keywords: derivatives pricing
MaRDI profile type: Publication
OpenAlex ID: W3021713328
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DOI: 10.1016/J.AUTOMATICA.2017.08.028
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description: scientific article; zbMATH DE number 6808555