This paper investigates derivatives pricing under existence of liquidity costs and market impacts for the underlying asset in continuous time. Firstly, we formulate the charge for the liquidity cost and the market impact on the derivatives prices through a stochastic control problem that aims to...

In this study, we investigate ordering patterns of different types of market participants in Tokyo Stock Exchange (TSE) by examining order records of the listed stocks. Firstly, we categorize the virtual servers in the trading system of TSE, each of which is linked to a single trading...