In this study, we extend the optimal execution problem with convex market impact function studied in Kato (2014) to the case where the market impact function is S-shaped, that is, concave on [0, x̄<sub>0</sub>] and convex on [x̄<sub>0</sub>, ∞) for some x̄<sub>0</sub> ≥ 0. We study the corresponding...