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Arbitrage Free Limit Order Pricing Model
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
2010 (English)Conference paper (Other academic)
Abstract [en]

It has been recognized by trading community for some time that the limit orderhas some option characteristics. Obviously, this is a special type of option as itis owned by the entire trading community as a whole. The exchanges recognizedthis fact by rewarding the limit orders with rebates. This paper is an attempt todetermine the faire value of this rebate, based on the absence of statistical arbitrage.

Place, publisher, year, edition, pages
2010. 7- p.
National Category
URN: urn:nbn:se:hh:diva-16091OAI: diva2:438433
5th Workshop Nonlinear PDEs and Financial Mathematics, 25-26 march, Universit├Ąt Leipzig, Germany
Available from: 2011-09-07 Created: 2011-09-02 Last updated: 2012-10-11Bibliographically approved

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Apaper.pdf(213 kB)153 downloads
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Nechaev, Mikhail
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