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Closed-form approximations in multi-asset market making

Bergault, Philippe; Evangelista, David; Guéant, Olivier; … - In: Applied mathematical finance 28 (2021) 2, pp. 101-142

Persistent link: https://www.econbiz.de/10013171062

Optimal market making

Guéant, Olivier - In: Applied mathematical finance 24 (2017) 1/2, pp. 112-154

Persistent link: https://www.econbiz.de/10011746995

Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models

Kristensen, Dennis; Mele, Antonio - School of Economics and Management, University of Aarhus - 2009

volatility; the term-structure of interest rates, closed-form approximations. JEL-Classification: G12, G13. We wish to thank …- factor di�usion settings. We develop closed-form approximations to any given contingent claim model, which are easy to … given in De�nition 1 over the previous one, ~w2, is that we have closed-form approximations for the adjustment term. In …

Persistent link: https://www.econbiz.de/10005787546

Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models

Kristensen, Dennis; Mele, Antonio - In: Journal of Financial Economics 102 (2011) 2, pp. 390-415

We develop a new approach to approximating asset prices in the context of continuous-time models. For any pricing model that lacks a closed-form solution, we provide a closed-form approximate solution, which relies on the expansion of the intractable model around an “auxiliary” one. We...

Persistent link: https://www.econbiz.de/10011039202

Approximating Closed Form Solutions to a Class of Feedback Policies

Sandal, Leif K. - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2009

(closed form) approximations including error bounds to a class of nonlinear problems. The algorithmic scheme is also well …

Persistent link: https://www.econbiz.de/10008577781

A Closed-Form Approximation for Serial Inventory Systems and Its Application to System Design

Shang, Kevin H.; Song, Jing-Sheng - In: Manufacturing & Service Operations Management 8 (2006) 4, pp. 394-406

We analyze a serial base-stock inventory model with Poisson demand and a fill-rate constraint. Our objective is to gain insights into the linkage between the stages to facilitate optimal system design and decentralized system control. To this end, we develop a closed-form approximation for the...

Persistent link: https://www.econbiz.de/10009218716