Optimal Execution and Block Trade Pricing: A General Framework

Applied Mathematical Finance

Volumn 22, Issue 4, 2015, Pages 336-365

  Guéant, Olivier ^a  

^a UNIVERSITÉ PIERRE ET MARIE CURIE   (France)

Author keywords

block trade pricing; Hamilton Jacobi equations; Optimal execution; viscosity solutions

Indexed keywords

EID: 84939001104     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/1350486X.2015.1042188     Document Type: Article

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