OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK

Jim Gatheral () and Alexander Schied ()
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Jim Gatheral: Department of Mathematics, Baruch College, CUNY, One Bernard Baruch Way, New York, NY 10010, USA
Alexander Schied: Department of Mathematics, University of Mannheim, A5, 6, 68131 Mannheim, Germany

International Journal of Theoretical and Applied Finance (IJTAF), 2011, vol. 14, issue 03, 353-368

Abstract: With an alternative choice of risk criterion, we solve the HJB equation explicitly to find a closed-form solution for the optimal trade execution strategy in the Almgren–Chriss framework assuming the underlying unaffected stock price process is geometric Brownian motion.

Keywords: HJB; optimal execution; risk measures; market impact (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (104)

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Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:14:y:2011:i:03:n:s0219024911006577

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DOI: 10.1142/S0219024911006577

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