Accelerated share repurchase: Pricing and execution strategy

International Journal of Theoretical and Applied Finance

Volumn 18, Issue 3, 2015, Pages

  Guéant, Olivier ^a   Jiang, Pu ^b   Royer, Guillaume ^c  

^a UNIVERSITÉ PARIS DESCARTES   (France)

^b Institut Europlace de Finance Research Initiative Execution Optimale et Statistiques de la Liquidite Haute Frequence   (France)

^c CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

Author keywords

ASR contracts; Optimal execution; optimal stopping; stochastic optimal control; utility indifference pricing

Indexed keywords

EID: 84929508967     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024915500193     Document Type: Article

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