An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price Process
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Cited by:
- Takashi Kato, 2014. "VWAP Execution as an Optimal Strategy," Papers 1408.6118, arXiv.org, revised Jan 2017.
- Kensuke Ishitani & Takashi Kato, 2015. "Theoretical and Numerical Analysis of an Optimal Execution Problem with Uncertain Market Impact," Papers 1506.02789, arXiv.org, revised Aug 2015.
- Goldys, Beniamin & Wu, Wei, 2019. "On a class of singular stochastic control problems driven by Lévy noise," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3174-3206.
- Masashi Ieda, 2015. "A dynamic optimal execution strategy under stochastic price recovery," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-24, December.
- Takashi Kato, 2017. "An Optimal Execution Problem with S-shaped Market Impact Functions," Papers 1706.09224, arXiv.org, revised Oct 2017.
- Kashyap, Ravi, 2020. "David vs Goliath (You against the Markets), A dynamic programming approach to separate the impact and timing of trading costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
- Masashi Ieda, 2015. "A dynamic optimal execution strategy under stochastic price recovery," Papers 1502.04521, arXiv.org.
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