Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks (2018)

First Author: Jacquier A
Attributed to:  Asymptotics and dynamics of forward implied volatility funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1137/17m1117860

Publication URI: http://dx.doi.org/10.1137/17m1117860

Type: Journal Article/Review

Parent Publication: SIAM Journal on Financial Mathematics

Issue: 3