摘要翻译：
在不完全金融市场中，利用新近提出的时间一致定价过程公理(TCPP)给任何金融资产分配一个动态的限价盘，同时考虑了基础资产的动态性和期权的限价盘。Kreps-Yan基本定理被推广到这一背景下。根据选项的对偶表示给出了TCPP在选项上标定的一个表征。在流动性非常好的期权情况下，这些期权可以作为动态对冲的基础资产。从cadlag BMO鞅出发，构造了一个基于期权价格标定的TCPP族。
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英文标题：
《Time Consistent Dynamic Limit Order Books Calibrated on Options》
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作者：
Jocelyne Bion-Nadal
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  In an incomplete financial market, the axiomatic of Time Consistent Pricing Procedure (TCPP), recently introduced, is used to assign to any financial asset a dynamic limit order book, taking into account both the dynamics of basic assets and the limit order books for options.   Kreps-Yan fundamental theorem is extended to that context. A characterization of TCPP calibrated on options is given in terms of their dual representation. In case of perfectly liquid options, these options can be used as the basic assets to hedge dynamically. A generic family of TCPP calibrated on option prices is constructed, from cadlag BMO martingales.
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PDF链接：
https://arxiv.org/pdf/0809.3824