Optimal accelerated share repurchases

DOI10.1080/1350486X.2017.1374870zbMath1398.91600OpenAlexW3123383822MaRDI QIDQ4610214

Damir Kinzebulatov, Sebastian Jaimungal, Dmitri H. Rubisov

Publication date: 6 April 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2017.1374870

zbMATH Keywords

optimal stoppingstochastic controlAmerican optionsoptimal executionalgorithmic tradingaccelerated share repurchase

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT ⋮ Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes ⋮ Accelerated Share Repurchases Under Stochastic Volatility ⋮ Optimal execution with limit and market orders ⋮ Accelerated share repurchase and other buyback programs: what neural networks can bring

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