Optimal Execution and Block Trade Pricing: A General Framework
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DOI: 10.1080/1350486X.2015.1042188
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- Olivier Guéant, 2015. "Optimal execution and block trade pricing: a general framework," Post-Print hal-01393118, HAL.
Citations
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Cited by:
- Ulrich Horst & Evgueni Kivman, 2024. "Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies," Finance and Stochastics, Springer, vol. 28(3), pages 759-812, July.
- Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
- Alexis Bismuth & Olivier Gu'eant & Jiang Pu, 2016. "Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty," Papers 1611.07843, arXiv.org, revised Mar 2019.
- Olivier Guéant & Jiang Pu, 2017.
"Option Pricing And Hedging With Execution Costs And Market Impact,"
Mathematical Finance, Wiley Blackwell, vol. 27(3), pages 803-831, July.
- Olivier Guéant & Jiang Pu, 2015. "Option pricing and hedging with execution costs and market impact," Post-Print hal-01393124, HAL.
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