Optimal Hedge Tracking Portfolios in a Limit Order Book

Simon Ellersgaard, Martin Tegner

Original language	English
Article number	1850003
Journal	Market Microstructure and Liquidity
Volume	3
Issue number	2
Number of pages	32
ISSN	2382-6266
DOIs	https://doi.org/10.1142/S238262661850003X
Publication status	Published - Jun 2017

Keywords

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title = "Optimal Hedge Tracking Portfolios in a Limit Order Book",

keywords = "Delta hedging and limit order book, HJB QVI",

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