Pricing European Options in a Discrete Time Model for the Limit Order Book
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DOI: 10.1007/s11009-017-9610-3
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Cited by:
- Qi Guo & Anatoliy Swishchuk & Bruno R'emillard, 2022. "Multivariate Hawkes-based Models in LOB: European, Spread and Basket Option Pricing," Papers 2209.07621, arXiv.org.
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Keywords
Limit order book; Hedging; Pricing; Arbitrage; Liquidity; Mathematical model;All these keywords.
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