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 |
|---|---|---|---|
| English | Optimal Trade Execution Under Stochastic Volatility and Liquidity |
scientific article; zbMATH DE number 6934897 |
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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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