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We consider the problem of pricing contingent claims using distortion operators. This approach was first developed in (Wang, 2000) where the original distortion function was defined in terms of the normal distribution. Here, we introduce a new distortion based on the N...

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Simulator Models for the Limit Order Book Dynamics and their Applications

December 3, 2016

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Department of Mathematics and Statistics

University of Montreal

© 2016 by Manuel Morales.

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