General intensity shapes in optimal liquidation

Mathematical Finance

Volumn 25, Issue 3, 2015, Pages 457-495

  Guéant, Olivier ^a   Lehalle, Charles Albert ^b  

^a UNIVERSITÉ PIERRE ET MARIE CURIE   (France)

^b Capital Fund Management   (France)

Author keywords

Limit orders; Optimal liquidation; Stochastic optimal control; Viscosity solutions

Indexed keywords

EID: 84930381214     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/mafi.12052     Document Type: Article

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