OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK

被引：88

作者：

Gatheral, Jim ^{[1
]}

Schied, Alexander ^{[2
]}

机构：

[1] CUNY, Dept Math, Baruch Coll, One Bernard Baruch Way, New York, NY 10010 USA

[2] Univ Mannheim, Dept Math, D-68131 Mannheim, Germany

来源：

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2011年 / 14卷 / 03期

关键词：

HJB; optimal execution; risk measures; market impact;

D O I：

10.1142/S0219024911006577

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

With an alternative choice of risk criterion, we solve the HJB equation explicitly to find a closed-form solution for the optimal trade execution strategy in the Almgren-Chriss framework assuming the underlying unaffected stock price process is geometric Brownian motion.

引用

页码：353 / 368

页数：16

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