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

Chapter 16 in Finance at Fields, 2012, pp 373-388 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractWith 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: Mathematical Finance; Financial Mathematics; Risk Management; Asset Pricing; Computational Finance; Derivatives; Option Pricing; Portfolio Optimization (search for similar items in EconPapers)
Date: 2012
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