Optimal execution of accelerated share repuchase contracts with fixed notional
Olivier Guéant
| Year of publication: |
June 2017
|
|---|---|
| Authors: | Guéant, Olivier |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 19.2017, 5, p. 77-99
|
| Subject: | optimal execution | ASR contracts | optimal stopping | stochastic optimal control | utility indifference pricing | Kontrolltheorie | Control theory | Vertragstheorie | Contract theory | Mathematische Optimierung | Mathematical programming | Prinzipal-Agent-Theorie | Agency theory | Suchtheorie | Search theory | Dynamische Optimierung | Dynamic programming | Stochastischer Prozess | Stochastic process | Vertrag | Contract |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2017.361 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011747118