Alfonsi, Aurélien; Acevedo, José Infante - In: Applied Mathematical Finance 21 (2014) 3, pp. 201-237
This paper focuses on an extension of the limit order book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied ((2010). Optimal execution strategies in limit order books with general shape functions. <italic>Quantitative Finance</italic>, <italic>10</italic>(2), 143-157). Here, the additional feature allows a...