Optimal Liquidation in a Finite Time Regime Switching Model with Permanent and Temporary Pricing Impact
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References listed on IDEAS
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- Dmitry B. Rokhlin & Georgii Mironenko, 2016. "Regular finite fuel stochastic control problems with exit time," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 84(1), pages 105-127, August.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-01-07 (All new papers)
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