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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, Published 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
Economics
Identifiers
URN: urn:nbn:se:hh:diva-16091OAI: oai:DiVA.org:hh-16091DiVA: diva2:438433
Conference
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

Open Access in DiVA

Apaper.pdf(213 kB)168 downloads
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File name FULLTEXT01.pdfFile size 213 kBChecksum SHA-512
d01042f21cf4b157b5c90d99bbadb975f409f7b4b4bafd8924737ad43cbf3af1bed77c6646d53ce7f4bc497155132d2031725a25f042aec6e169aaa8e5196380
Type fulltextMimetype application/pdf

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CiteExportLink to record
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