Applications of a New Self-Financing Equation
Trading and Market Microstructure
2019-05-13 v1
Abstract
The goal of this note is to illustrate the impact of a self-financing condition recently introduced by the authors. We present the analyses of two specific applications usually considered in more traditional models in financial mathematics. They include hedging European options with limit orders and the optimal behavior of market makers.
Keywords
Cite
@article{arxiv.1905.04137,
title = {Applications of a New Self-Financing Equation},
author = {Rene Carmona and Kevin Webster},
journal= {arXiv preprint arXiv:1905.04137},
year = {2019}
}
Comments
arXiv admin note: substantial text overlap with arXiv:1312.2302