Closed-form approximations in multi-asset market making
Philippe Bergault, David Evangelista, Olivier Guéant and Douglas Vieira
| Year of publication: |
2021
|
|---|---|
| Authors: | Bergault, Philippe ; Evangelista, David ; Guéant, Olivier ; Vieira, Douglas |
| Subject: | Algorithmic trading | closed-form approximations | market making | Monte-Carlo methods | stochastic optimal control | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Elektronisches Handelssystem | Electronic trading | Finanzmarkt | Financial market | Portfolio-Management | Portfolio selection | Wertpapierhandel | Securities trading | Algorithmus | Algorithm | Optionsgeschäft | Option trading |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2021.1949359 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013171062