ACCELERATED SHARE REPURCHASE: PRICING AND EXECUTION STRATEGY

DOI10.1142/S0219024915500193zbMath1337.91154arXiv1312.5617MaRDI QIDQ5256838

Olivier Guéant, Guillaume Royer, Jiang Pu

Publication date: 29 June 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.5617

zbMATH Keywords

optimal stoppingstochastic optimal controloptimal executionutility indifference pricingASR contracts

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (6)

OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT ⋮ Accelerated Share Repurchases Under Stochastic Volatility ⋮ Optimal accelerated share repurchases ⋮ Optimal execution with limit and market orders ⋮ Accelerated share repurchase and other buyback programs: what neural networks can bring ⋮ Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty

Cites Work

• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• A closed-form solution to the problem of super-replication under transaction costs
• No-dynamic-arbitrage and market impact
• Optimal Basket Liquidation for CARA Investors is Deterministic
• THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem

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