Loading...
Please wait, while we are loading the content...
Similar Documents
Optimal Trading with General Signals and Liquidation in Target Zone Models
| Content Provider | Scilit |
|---|---|
| Author | Belak, Christoph Muhle-Karbe, Johannes Ou, Kevin |
| Copyright Year | 2018 |
| Description | Journal: SSRN Electronic Journal We study optimal trading in an Almgren-Chriss model with running and terminal inventory costs and general predictive signals about price changes. As a special case, this allows to treat optimal liquidation in “target zone models”: asset prices with a reflecting boundary enforced by regulatory interventions. In this case, the optimal liquidation rate is the “theta” of a lookback option, leading to explicit formulas for Bachelier or Black-Scholes dynamics. |
| Related Links | http://arxiv.org/pdf/1808.00515 https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3224674 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.3224674 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2018-08-01 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Optimal Trading Inventory Costs Market Impact Target Zone Models |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |