Liquidation Of A Large Block Of Stock With Regime Switching
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References listed on IDEAS
- G. Yin & Q. Zhang & F. Liu & R. H. Liu & Y. Cheng, 2006. "Stock Liquidation Via Stochastic Approximation Using Nasdaq Daily And Intra-Day Data," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 217-236.
- Constantinides, George M, 1983. "Capital Market Equilibrium with Personal Tax," Econometrica, Econometric Society, vol. 51(3), pages 611-636, May.
- Pemy, M. & Zhang, Q. & Yin, G., 2007. "Liquidation of a large block of stock," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1295-1305, May.
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- Baojun Bian & Nan Wu & Harry Zheng, 2012. "Optimal Liquidation in a Finite Time Regime Switching Model with Permanent and Temporary Pricing Impact," Papers 1212.3145, arXiv.org, revised Oct 2014.
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