Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders.

Álvaro Cartea Luhui Gan Sebastian Jaimungal

Published in: SIAM J. Financial Math. (2019)

Keyphrases

option pricing
payoff functions
decision making
stock price
decision analysis
trading strategies
maximum entropy
game theory
incomplete information
electronic markets
neural network
repeated games
market share
electronic commerce
financial data
real option
supply chain
selling season
black scholes model