"Optimal Execution in a General One-Sided Limit-Order Book."

Silviu Predoiu, Gennady Shaikhet, Steven E. Shreve (2011)

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DOI: 10.1137/10078534X

access: closed

type: Journal Article

metadata version: 2017-06-14

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Silviu Predoiu, Gennady Shaikhet, Steven E. Shreve:
Optimal Execution in a General One-Sided Limit-Order Book. SIAM J. Financial Math. 2(1): 183-212 (2011)

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