Computational exploration of the biological basis of Black-Scholes expected utility function.
Bhattacharya, Sukanto, Kumar, Kuldeep (2007)
Journal of Applied Mathematics and Decision Sciences
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Displaying similar documents to “A time-series approach to non-self-financing hedging in a discrete-time incomplete market.”
Computational exploration of the biological basis of Black-Scholes expected utility function.
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We model a market with multiple liquidity takers and a single market maker maximizing his discounted consumption while keeping a prescribed probability of bankruptcy. We show that, given this setting, spread and price bias (a difference between the midpoint- and the expected fair price) depend solely on the MM's inventory and his uncertainty concerning the fair price. Tested on ten-second data from ten US electronic markets, our model gives significant results with the price bias decreasing...
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