Serge Lhermitte

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Scholarly Papers (1)

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Optimal Arbitrage Strategies in Presence of Market Impacts

Number of pages: 18 Posted: 14 Sep 2007
Valdo Durrleman and Serge Lhermitte
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS and affiliation not provided to SSRN
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Abstract:

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arbitrage strategies, market impact