Naujokat, Felix; Horst, Ulrich - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
In this article the problem of curve following in an illiquid market is addressed. Using techniques of singular stochastic control, we extend the results of [NW11] to a twosided limit order market with temporary market impact and resilience, where the bid ask spread is now also controlled. We...
