Optimal Trade Execution under Geometric Brownian Motion in the Almgren and Chriss Framework

With an alternative choice of risk criterion, we solve the HJB equation explicitly to ﬁnd a closed-form solution for the optimal trade execution strategy in the Almgren-Chriss framework assuming the underlying unaffected stock price process is geometric Brownian motion

MoreLess

Year of publication:	2012
Authors:	Gatheral, Jim
Other Persons:	Schied, Alexander (contributor)
Publisher:	[2012]: [S.l.] : SSRN

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details
Report error

Extent:	1 Online-Ressource (14 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: International Journal of Theoretical and Applied Finance, Vol. 14, No. 3, pp. 353-368, 2011 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 2, 2012 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013115822