Accelerated Share Repurchases Under Stochastic Volatility

DOI10.1080/1350486X.2023.2210290MaRDI QIDQ6112768zbMATH OpenOpenAlexFDO

Authors Nikhil Krishnan, Ronnie Sircar

Publication date 7 August 2023

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486x.2023.2210290

zbMATH Keywords

deep learningstochastic volatilityaccelerated share repurchases

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Artificial neural networks and deep learning (68T07) Financial markets (91G15)

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Cites work

• scientific article; zbMATH DE number 796444 (Why is no real title available?)
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• Accelerated share repurchase and other buyback programs: what neural networks can bring
• Accelerated share repurchase: pricing and execution strategy
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• DGM: a deep learning algorithm for solving partial differential equations
• Deep learning of free boundary and Stefan problems
• OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
• Optimal accelerated share repurchases
• Optimal basket liquidation for CARA investors is deterministic
• Optimal execution and block trade pricing: a general framework
• Optimal trade execution under stochastic volatility and liquidity
• Optimal trading with stochastic liquidity and volatility
• The Russian option: Reduced regret
• The Value of the Perpetual American Call on the Time-Average of the Stock

Cited in

(4)

• Accelerated share repurchase and other buyback programs: what neural networks can bring
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