Optimal liquidation in a finite time regime switching model with permanent and temporary pricing impact
Work
Year: 2016
Type: article
Abstract: In this paper we discuss the optimal liquidation over a finite time horizon until the exit time. The drift and diffusion terms of the asset price are general functions depending on all variables inclu... more
Authors Baojun Bian, Nan Wu, Harry Zheng
Institutions Tongji University, Imperial College London
Cites: 18
Cited by: 7
Related to: 10
FWCI: 1.462
Citation percentile (by year/subfield): 72.15
Subfield: Finance
Domain: Social Sciences
Open Access status: gold