Accelerated Share Repurchase: pricing and execution strategy
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DOI: 10.1142/S0219024915500193
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Other versions of this item:
- Olivier Guéant & Jiang Pu & Guillaume Royer, 2015. "Accelerated Share Repurchase: Pricing And Execution Strategy," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 1-31.
References listed on IDEAS
- Charles-Albert Lehalle & Sophie Laruelle (ed.), 2013. "Market Microstructure in Practice," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8967, August.
- Richard Bellman, 1957. "On a Dynamic Programming Approach to the Caterer Problem--I," Management Science, INFORMS, vol. 3(3), pages 270-278, April.
Citations
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Cited by:
- Yufan Chen & Lan Wu & Renyuan Xu & Ruixun Zhang, 2024. "Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major-Minor Players," Papers 2408.09505, arXiv.org.
- Mohamed Hamdouche & Pierre Henry-Labordere & Huyen Pham, 2023. "Policy gradient learning methods for stochastic control with exit time and applications to share repurchase pricing," Papers 2302.07320, arXiv.org.
- 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.
- Bastien Baldacci & Philippe Bergault & Olivier Gu'eant, 2024. "Dispensing with optimal control: a new approach for the pricing and management of share buyback contracts," Papers 2404.13754, arXiv.org, revised Jul 2024.
- Olivier Guéant & Iuliia Manziuk & Jiang Pu, 2020.
"Accelerated share repurchase and other buyback programs: what neural networks can bring,"
Quantitative Finance, Taylor & Francis Journals, vol. 20(8), pages 1389-1404, August.
- Olivier Guéant & Iuliia Manziuk & Jiang Pu, 2020. "Accelerated Share Repurchase and other buyback programs: what neural networks can bring," Working Papers hal-02987889, HAL.
- Olivier Guéant & Iuliia Manziuk & Jiang Pu, 2020. "Accelerated share repurchase and other buyback programs: what neural networks can bring," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03252518, HAL.
- Olivier Guéant & Iuliia Manziuk & Jiang Pu, 2020. "Accelerated Share Repurchase and other buyback programs: what neural networks can bring," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02987889, HAL.
- Olivier Guéant & Iuliia Manziuk & Jiang Pu, 2020. "Accelerated share repurchase and other buyback programs: what neural networks can bring," Post-Print hal-03252518, HAL.
- 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.
- David Evangelista & Yuri Saporito & Yuri Thamsten, 2022. "Price formation in financial markets: a game-theoretic perspective," Papers 2202.11416, arXiv.org.
- Olivier Gu'eant & Iuliia Manziuk & Jiang Pu, 2019. "Accelerated Share Repurchase and other buyback programs: what neural networks can bring," Papers 1907.09753, arXiv.org, revised Nov 2019.
- Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
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