VWAP Execution and Guaranteed VWAP (Q2940767)

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VWAP Execution and Guaranteed VWAP
scientific article

    Statements

    title
    VWAP Execution and Guaranteed VWAP (English)
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    author
    Olivier Guéant
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    Guillaume Royer
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    publication date
    20 January 2015
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    zbMATH Keywords
    optimal liquidation
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    VWAP strategy
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    guaranteed VWAP contract
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    optimal control
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    indifference pricing
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    Identifiers

    DOI
    10.1137/130924676
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    Mathematics Subject Classification ID
    93E20
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    49J15
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    91G80
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    zbMATH DE Number
    6388331
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    OpenAlex ID
    W2085366878
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    arXiv ID
    1306.2832
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