OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK

With an alternative choice of risk criterion, we solve the HJB equation explicitly to find a closed-form solution for the optimal trade execution strategy in the Almgren–Chriss framework assuming the underlying unaffected stock price process is geometric Brownian motion.

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Year of publication:	2011
Authors:	GATHERAL, JIM ; SCHIED, ALEXANDER
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 14.2011, 03, p. 353-368
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	HJB \| optimal execution \| risk measures \| market impact

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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