No-arbitrage pricing with α-DS mixtures in a market with bid-ask spreads.
Davide PetturitiBarbara VantaggiPublished in: ISIPTA (2023)
Keyphrases
- financial markets
- stock price
- option pricing
- black scholes
- stock market
- bidding strategies
- budget constraints
- mixture model
- pricing model
- optimal pricing
- stock exchange
- portfolio selection
- risk management
- dynamic pricing
- pricing mechanism
- non stationary
- convertible bonds
- financial data
- market conditions
- pricing strategies
- black scholes model
- information goods
- mixtures of gaussians
- heavy tailed
- blind source separation
- auction protocol
- factor analyzers
- portfolio management
- profit maximizing
- display advertising
- portfolio optimization
- multi attribute
- supply chain
- probabilistic model
- pricing schemes
- exchange rate