Predatory trading and risk minimisation: how to (b)eat the competition
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References listed on IDEAS
- Johannes Muhle-Karbe & Marcel Nutz, 2010. "Small-Time Asymptotics of Option Prices and First Absolute Moments," Papers 1006.2294, arXiv.org, revised Jun 2011.
- H. Berestycki & J. Busca & I. Florent, 2002. "Asymptotics and calibration of local volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 61-69.
- Amel Bentata & Rama Cont, 2009. "Forward equations for option prices in semimartingale models," Working Papers hal-00445641, HAL.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-15 (All new papers)
- NEP-MON-2012-02-15 (Monetary Economics)
- NEP-UPT-2012-02-15 (Utility Models & Prospect Theory)
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