For option pricing models and heavy-tailed distributions, this study proposes a continuous-time stochastic volatility model based on an arithmetic Brownian motion: a one-parameter extension of the normal stochastic alpha-beta-rho (SABR) model. Using two generalized Bougerol's identities in the...

This study investigates the optimal execution strategy of market-making for market and limit order arrival dynamics under a novel framework that includes a synchronised factor between buy and sell order arrivals. Using statistical tests, we empirically confirm that a synchrony propensity appears...