OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH (Q5262522): Difference between revisions
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Revision as of 21:13, 19 March 2024
scientific article; zbMATH DE number 6458951
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH |
scientific article; zbMATH DE number 6458951 |
Statements
OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH (English)
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15 July 2015
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optimal trade execution
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VWAP
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HJB equation
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gamma bridge
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