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Block trade pricing
| Content Provider | Scilit |
|---|---|
| Author | Gueant, Olivier |
| Copyright Year | 2016 |
| Description | The literature on optimal execution deals with the optimal way to build or unwind a position, that is, with execution strategies and tactics. In this chapter, we go beyond strategies and tactics, and we show how the models of the previous chapters – with a focus on the Almgren-Chriss framework – can be used to give a price to a block of shares. This is important to price risk trades, but also more generally to give a price to (il)liquidity. In this chapter, we introduce in particular the concept of risk-liquidity premium that can be used for pricing purposes, but also to penalize illiquid portfolios in many models. Book Name: The Financial Mathematics of Market Liquidity |
| Related Links | https://content.taylorfrancis.com/books/download?dac=C2014-0-41857-3&isbn=9780429153778&doi=10.1201/b21350-17&format=pdf |
| Ending Page | 192 |
| Page Count | 22 |
| Starting Page | 171 |
| DOI | 10.1201/b21350-17 |
| Language | English |
| Publisher | Informa UK Limited |
| Publisher Date | 2016-03-30 |
| Access Restriction | Open |
| Subject Keyword | Book Name: The Financial Mathematics of Market Liquidity Operations Research and Management Science Models Block Price Optimal Portfolios Tactics Build Execution Give Unwind |
| Content Type | Text |
| Resource Type | Chapter |
