VWAP execution and guaranteed VWAP
AbstractOptimal liquidation using VWAP strategies has been considered in the literature, though never in the presence of permanent market impact and only rarely with execution costs. Moreover, only VWAP strategies have been studied and the pricing of guaranteed VWAP contracts has never been addressed. In this article, we develop a model to price guaranteed VWAP contracts in a general framework for market impact and we highlight the differences between an agency VWAP and a guaranteed VWAP contract. Numerical methods and applications are also provided.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1306.2832.
Date of creation: Jun 2013
Date of revision: May 2014
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-16 (All new papers)
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