Optimal liquidation of a call spread

DOI10.1239/JAP/1276784911MaRDI QIDQ3578685zbMATH OpenOpenAlexFDO

Authors Erik Ekström, Carl Lindberg, Johan Tysk, Henrik Wanntorp

Publication date 20 July 2010

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1276784911

zbMATH Keywords

Bachelier modelcall spreadoptimal stopping

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Optimal execution strategy of liquidation
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• Optimization of covered calls under uncertainty
• The pricing and optimal strategies of callable warrants
• Optimal liquidation under stochastic liquidity
• Optimal liquidation under stochastic price impact
• Optimal liquidation strategies and their implications

Cites work

• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• Solving non–linear optimal stopping problems by the method of time–change

Cited in

(8)

• Optimal policies of call with notice period requirement
• Optimal mean-reverting spread trading: nonlinear integral equation approach
• Convergence of option rewards for multivariate price processes
• Optimal timing for short covering of an illiquid security
• Optimal stopping and reselling of European options
• Risk premia and optimal liquidation of credit derivatives
• A closed-form solution for optimal Ornstein-Uhlenbeck driven trading strategies
• scientific article; zbMATH DE number 7703253 (Why is no real title available?)

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