Optimal trade execution under stochastic volatility and liquidity (Q4586036)
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scientific article; zbMATH DE number 6934897
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal trade execution under stochastic volatility and liquidity |
scientific article; zbMATH DE number 6934897 |
Statements
Optimal Trade Execution Under Stochastic Volatility and Liquidity (English)
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11 September 2018
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optimal trade execution
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implementation cost
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discrete-time stochastic control
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Bellman equation
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stochastic volatility
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stochastic liquidity
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0.8971646428108215
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0.8747419714927673
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0.8662365078926086
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0.8657305240631104
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0.8635327816009521
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