Efficient discretization of stochastic integrals
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- Masaaki Fukasawa, 2014. "Efficient price dynamics in a limit order market: an utility indifference approach," Papers 1410.8224, arXiv.org.
- Masaaki Fukasawa & Mitja Stadje, 2017. "Perfect hedging under endogenous permanent market impacts," Papers 1702.01385, arXiv.org.
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More about this item
KeywordsItô integral; Riemann sum; Kurtosis; Skewness; Asymptotic efficiency; Discrete hedging; 60H05; 60F05; G11;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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