VWAP execution and guaranteed VWAP

SIAM Journal on Financial Mathematics

Volumn 5, Issue 1, 2014, Pages 445-471

  Guéant, Olivier ^a   Royer, Guillaume ^b  

^a UNIVERSITÉ PIERRE ET MARIE CURIE   (France)

^b CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

Author keywords

Guaranteed VWAP contract; Indifference pricing; Optimal control; Optimal liquidation; VWAP strategy

Indexed keywords

EID: 84920841130     PISSN: None     EISSN: 1945497X     Source Type: Journal    
DOI: 10.1137/130924676     Document Type: Article

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