Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework
Jim Gatheral; Alexander Schied
| Year of publication: |
2011
|
|---|---|
| Authors: | Gatheral, Jim ; Schied, Alexander |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 14.2011, 3, p. 353-368
|
| Subject: | optimal trade execution | Hamilton-Jacobi-Bellman equation | Wertpapierhandel | Securities trading | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009154914