A Closed-Form Execution Strategy to Target Volume Weighted...

SIAM Journal on Financial Mathematics 2016 / 01 Vol. 7; Iss. 1

A Closed-Form Execution Strategy to Target Volume Weighted Average Price

Cartea, Álvaro, Jaimungal, Sebastian
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Volume:
7
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/16M1058406
Date:
January, 2016
File:
PDF, 1.85 MB
english, 2016
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