Optimal sale strategies in illiquid markets

DOI10.1007/S00186-005-0421-XzbMath1125.91342OpenAlexW1968420249MaRDI QIDQ1781150

Martin Dahlgren

Publication date: 16 June 2005

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-005-0421-x

zbMATH Keywords

HJB quasi-variational inequalitiesLarge salesLiquidity discountStochastic impulse control

Mathematics Subject Classification ID

Variational inequalities (49J40) Optimal stochastic control (93E20)

Related Items (1)

A continuous time model to price commodity-based swing options

This page was built for publication: Optimal sale strategies in illiquid markets