Optimal execution of ASR contracts with fixed notional

Olivier Guéant

Working Papers from HAL

Abstract: Be it for taking advantage of stock undervaluation or in order to distribute part of their profits to shareholders, firms may buy back their own shares. One of the way they proceed is by including Accelerated Share Repurchases (ASR) as part of their repurchase programs. In this article, we study the pricing and optimal execution strategy of an ASR contract with fixed notional. In such a contract the firm pays a fixed notional F to the bank and receives, in exchange, a number of shares corresponding to the ratio between F and the average stock price over the purchase period, the duration of this period being decided upon by the bank. From a mathematical point of view, the problem is related to both optimal execution and exotic option pricing.

Date: 2016-11-06
References: Add references at CitEc
Citations:

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:wpaper:hal-01393129

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().