Optimal hedge tracking portfolios in a limit order book
Year of publication: |
June 2017
|
---|---|
Authors: | Ellersgaard, Simon ; Tegnér, Martin |
Published in: |
Market microstructure and liquidity. - New Jersey : World Scientific, ISSN 2382-6266, ZDB-ID 2880405-3. - Vol. 3.2017, 2, p. 1-32
|
Subject: | Delta hedging and limit order book | Theorie | Theory | Portfolio-Management | Portfolio selection | Hedging | Wertpapierhandel | Securities trading | Marktmikrostruktur | Market microstructure |
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