VWAP execution and guaranteed VWAP - Archive ouverte HAL
Article Dans Une Revue SIAM Journal on Financial Mathematics Année : 2014

VWAP execution and guaranteed VWAP

Résumé

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.

Dates et versions

hal-01393121 , version 1 (06-11-2016)

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Citer

Olivier Guéant, Royer Guillaume. VWAP execution and guaranteed VWAP. SIAM Journal on Financial Mathematics, 2014, 5 (1), pp.445-471. ⟨10.1137/130924676⟩. ⟨hal-01393121⟩
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