Optimal Liquidation in a Level-I Limit Order Book for Large Tick Stocks (2017)

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/10.2139/ssrn.2895765

Publication URI: http://dx.doi.org/10.2139/ssrn.2895765

Type: Journal Article/Review

Parent Publication: SSRN Electronic Journal