161 citations · 561 across the 20 of their papers we have counts for
3 papers · 1 filter
Limit Order Books
Martin D. Gould, Mason A. Porter, Stacy Williams +3
Limit order books (LOBs) match buyers and sellers in more than half of the world's financial markets. This survey highlights the insights that have emerged from the wealth of empir…
Risk-Neutral Pricing of Financial Instruments in Emission Markets: A Structural Approach
Sam Howison, Daniel Schwarz
We present a novel approach to the pricing of financial instruments in emission markets, for example, the EU ETS. The proposed structural model is positioned between existing compl…
The Effect of Non-Smooth Payoffs on the Penalty Approximation of American Options
Sam Howison, Christoph Reisinger, Jan Hendrik Witte
This article combines various methods of analysis to draw a comprehensive picture of penalty approximations to the value, hedge ratio, and optimal exercise strategy of American opt…