On optimal options book execution strategies with market impact
Aymeric Kalife, Saad Mouti
| Year of publication: |
December 2016
|
|---|---|
| Authors: | Kalife, Aymeric ; Mouti, Saad |
| Published in: |
Market microstructure and liquidity. - New Jersey : World Scientific, ISSN 2382-6266, ZDB-ID 2880405-3. - Vol. 2.2016, 3/4, p. 1-40
|
| Subject: | Market impact | option pricing | optimal execution | mean-variance | stochastic control | HJB equation | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Börsenkurs | Share price | Kontrolltheorie | Control theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2382626617500022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011715825