Optimal Hedge Tracking Portfolios in a Limit Order Book

Market Microstructure and Liquidity 2017 / 06 Vol. 3; Iss. 2

Optimal Hedge Tracking Portfolios in a Limit Order Book

Ellersgaard, Simon, Tegnér, Martin
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Volume:
3
Language:
english
Journal:
Market Microstructure and Liquidity
DOI:
10.1142/S238262661850003X
Date:
June, 2017
File:
PDF, 1.28 MB
english, 2017
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