Optimal execution of a vwap order: A stochastic control approach

Mathematical Finance

Volumn 25, Issue 3, 2015, Pages 612-639

  Frei, Christoph ^a   Westray, Nicholas ^b  

^a UNIVERSITY OF ALBERTA   (Canada)

^b DEUTSCHE BANK AG   (Germany)

Author keywords

Gamma bridge; HJB equation; Optimal trade execution; VWAP

Indexed keywords

EID: 84930376419     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/mafi.12048     Document Type: Article

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