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Valuation and martingale properties of shadow prices : an exposition
Foldes, Lucien Paul, (2000)
Can strategic market making explain asset pricing? : A microstructure analysis of the treasury bond market
Massa, Massimo, (2000)
The impact of portfolio constraints in infinite-horizon incomplete-markets models
Judd, Kenneth L., (1999)
Limit Laws in Transaction-Level Asset Price Models
Aue, Alexander, (2012)
Aue, Alexander, (2009)
Limit Laws in Trasnaction-Level Asset Price Models
Aue, Alexander, (2013)