Optimal liquidation under stochastic liquidity
Dirk Becherer, Todor Bilarev, Peter Frentrup
| Year of publication: |
January 2018
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|---|---|
| Authors: | Becherer, Dirk ; Bilarev, Todor ; Frentrup, Peter |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 22.2018, 1, p. 39-68
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| Subject: | Stochastic liquidity | Transient price impact | Optimal liquidation | Stochastic volume effect | Singular control | Finite-fuel problem | Free boundary | Inverse local time | Elastic reflection | Theorie | Theory | Stochastischer Prozess | Stochastic process | Liquidität | Liquidity | Marktliquidität | Market liquidity | Handelsvolumen der Börse | Trading volume | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-017-0346-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011945624