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Automatica
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Derivatives pricing with market impact and limit order book

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2016 English Publisher:Elsevier BVJournal:Automatica, volume 86, pages 154-165 (issn: 0005-1098, Copyright policy )
Authors: Taiga Saito; Akihiko Takahashi;

doi: 10.1016/j.automatica.2017.08.028 , 10.2139/ssrn.2779876

Derivatives pricing with market impact and limit order book

Abstract

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Keywords

Portfolio theory, Control/observation systems governed by partial differential equations, derivatives pricing, Initial-boundary value problems for second-order parabolic equations, Optimal stochastic control, stochastic control, Microeconomic theory (price theory and economic markets), application in finance

  • BIP!
    Impact byBIP!
    selected citations
    These citations are derived from selected sources.
    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 8
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    		 Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 Average
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    		 Average
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
8
Top 10%
Average
Average
bronze