Optimal trade execution under stochastic volatility and liquidity
Patrick Cheridito & Tardu Sepin
| Year of publication: |
2014
|
|---|---|
| Authors: | Cheridito, Patrick ; Sepin, Tardu |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 21.2014, 3/4, p. 342-362
|
| Subject: | Optimal trade execution | implementation cost | discrete-time stochastic control | Bellman equation | stochastic volatility | stochastic liquidity | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Liquidität | Liquidity | Transaktionskosten | Transaction costs | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010499674