VWAP execution and guaranteed VWAP

Olivier Guéant and Royer Guillaume
Additional contact information
Royer Guillaume: CMAP - Centre de Mathématiques Appliquées de l'Ecole polytechnique - Inria - Institut National de Recherche en Informatique et en Automatique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: If optimal liquidation using VWAP strategies has been considered in the literature, it has never been considered in the presence of permanent market impact and only rarely with execution costs. Moreover, only VWAP strategies have been studied and no pricing of guaranteed VWAP contract is provided. In this article, we develop a model to price guaranteed VWAP contracts in the most general framework for market impact. Numerical applications are also provided.

Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Published in SIAM Journal on Financial Mathematics, 2014, 5 (1), pp.445-471. ⟨10.1137/130924676⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01393121

DOI: 10.1137/130924676

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().