"Jump Diffusion Approximation for the Price Dynamics of a Fully State ..."

Dörte Kreher, Cassandra Milbradt (2023)

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DOI: 10.1137/20M1380922

access: closed

type: Journal Article

metadata version: 2023-02-14

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Dörte Kreher, Cassandra Milbradt:
Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model. SIAM J. Financial Math. 14(1): 1-51 (2023)

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