VWAP Execution and Guaranteed VWAP

DOI10.1137/130924676zbMath1308.93223arXiv1306.2832OpenAlexW2085366878MaRDI QIDQ2940767

Olivier Guéant, Guillaume Royer

Publication date: 20 January 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.2832

zbMATH Keywords

optimal controloptimal liquidationindifference pricingguaranteed VWAP contractVWAP strategy

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Existence theories for optimal control problems involving ordinary differential equations (49J15)

Related Items (5)

Optimal execution in Hong Kong given a market-on-close benchmark ⋮ Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics ⋮ Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes ⋮ A Closed-Form Execution Strategy to Target Volume Weighted Average Price ⋮ Optimal Execution: A Review

This page was built for publication: VWAP Execution and Guaranteed VWAP