Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions
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Publication:1681457
DOI10.1016/j.ejor.2017.07.054zbMath1380.91143arXiv1707.07284OpenAlexW2607025294MaRDI QIDQ1681457
Pavol Brunovský, Aleš Černý, Ján Komadel
Publication date: 23 November 2017
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1707.07284
stochastic optimal controlsingular boundary value problemoptimal liquidationprice impactsquare-root law
Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Financial applications of other theories (91G80)
Related Items (4)
The last dozen of years of or research in Czechia and Slovakia ⋮ Optimal liquidation problem in illiquid markets ⋮ The Deterministic Optimal Liquidation Problem ⋮ Liquidation risk in insurance under contemporary regulatory frameworks
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