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20122025
most citedHigh-order short-time expansions for ATM option prices of exponential Lévy models

2 citations · 2 across the 8 of their papers we have counts for

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q-fin.TR2024

Adaptive Optimal Market Making Strategies with Inventory Liquidation Cos

Jonathan Chávez-Casillas, José E. Figueroa-López, Chuyi Yu +1

A novel high-frequency market-making approach in discrete time is proposed that admits closed-form solutions. By taking advantage of demand functions that are linear in the quoted…