VWAP execution and guaranteed VWAP

Olivier Gu\'eant and Guillaume Royer

Papers from arXiv.org

Abstract: Optimal liquidation using VWAP strategies has been considered in the literature, though never in the presence of permanent market impact and only rarely with execution costs. Moreover, only VWAP strategies have been studied and the pricing of guaranteed VWAP contracts has never been addressed. In this article, we develop a model to price guaranteed VWAP contracts in a general framework for market impact and we highlight the differences between an agency VWAP and a guaranteed VWAP contract. Numerical methods and applications are also provided.

Date: 2013-06, Revised 2014-05
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1306.2832

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