-selling costs. This is because the buyer values the asset at the low Bid-price and seller at the high Ask-price. When market clears …, the buyer and seller order-flows cancel out leaving the midpoint price independent of the “tax wedge”. Using this …

The well-known option pricing formula of Black and Scholes depends upon the assumption that price fluctuations are log … be more nearly the case in most markets, price fluctuations are in fact symmetrics table or log-symmetric stable. This … generating log-normal price uncertainty. It is then used to derive the value of a short-lived option for certain processes that …

The well-known option pricing formula of Black and Scholes depends upon the assumption that price fluctuations are log … be more nearly the case in most markets, price fluctuations are in fact symmetrics table or log-symmetric stable. This … generating log-normal price uncertainty. It is then used to derive the value of a short-lived option for certain processes that …

captures the options market's anticipation of the underlying stock price’s jump. We show that S-jump is substantially larger …

We introduce a state space representation of the limit order book where price impact is modeled by a latent dynamic … NASDAQ Historical TotalView-ITCH database, and present an application to real-time Bayesian estimation of price impact with …