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Arbitrage and investment opportunities
Jouini, Elyès - In: Finance and Stochastics 5 (2001) 3, pp. 305-325
We consider a model in which any investment opportunity is described in terms of cash flows. We don't assume that there … investment opportunities are not specifically related to the buying and selling of securities on a financial market. In this … "discount process" under which the "net present value" of any available investment is nonpositive. Since most market …
Persistent link: https://www.econbiz.de/10005759639
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Optimal Execution with Stochastic Delay
Cartea, Álvaro; Sánchez-Betancourt, Leandro - 2022
We show how traders use marketable limit orders (MLOs) to liquidate a position over a trading window when there is latency in the marketplace. MLOs are liquidity taking orders that specify a price limit and are for immediate execution only; however, if the price limit of the MLO precludes it...
Persistent link: https://www.econbiz.de/10013405025
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Dividing gains between a client and her agent
Xia, Jianming - In: Finance and Stochastics 7 (2003) 2, pp. 219-230
A client(she) contracts with an agent(him), who has limited liability, as follows: she lends him one dollar at time 0 and he uses the money to trade in a security market. As return, he promises to give her a fixed amount $e^{r_0T}$ at the final time T; in addition, if the real return rate of the...
Persistent link: https://www.econbiz.de/10005759647