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Optimal investment and consumption for financial markets with jumps under transaction costs
Egorov, Sergei; Pergamenchtchikov, Serguei - In: Finance and stochastics 28 (2024) 1, pp. 123-159
Persistent link: https://www.econbiz.de/10014447608
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An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps : optimal liquidation in dark pools with adverse selection
Kratz, Peter - In: Mathematics of operations research 39 (2014) 4, pp. 1198-1220
Persistent link: https://www.econbiz.de/10010462146
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Income drawdown option with minimum guarantee
Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto; … - In: European journal of operational research : EJOR 234 (2014) 3, pp. 610-624
Persistent link: https://www.econbiz.de/10010360497
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Stochastic liquidity as a proxy for nonlinear price impact
Muhle-Karbe, Johannes; Wang, Zexin; Webster, Kevin T. - In: Operations research 72 (2024) 2, pp. 444-458
Persistent link: https://www.econbiz.de/10014520747
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Optimal liquidation under stochastic price impact
Barger, Weston; Lorig, Matthew - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10012012935
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Optimal liquidation trajectories for the Almgren-Chriss model
Løkka, Arne; Xu, Junwei - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-35
Persistent link: https://www.econbiz.de/10012496903
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Forest of stochastic trees: a method for valuing multiple exercise options
Reesor, R. Mark; Marshall, T. James - In: Journal of risk and financial management : JRFM 13 (2020) 5/95, pp. 1-31
We present the Forest of Stochastic Trees (FOST) method for pricing multiple exercise options by simulation. The proposed method uses stochastic trees in place of binomial trees in the Forest of Trees algorithm originally proposed to value swing options, hence extending that method to allow for...
Persistent link: https://www.econbiz.de/10012304872
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Mean-variance portfolio optimization with state-dependent risk aversion
Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10010256230
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A stochastic control approach to bid-ask price modelling
Dela Vega, Engel John C.; Elliott, Robert J. - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-30
Persistent link: https://www.econbiz.de/10013371064
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Optimal execution of accelerated share repuchase contracts with fixed notional
Guéant, Olivier - In: Journal of risk 19 (2017) 5, pp. 77-99
Persistent link: https://www.econbiz.de/10011747118