Accelerated Share Repurchase: pricing and execution strategy - Archive ouverte HAL
Article Dans Une Revue International Journal of Theoretical and Applied Finance Année : 2015

Accelerated Share Repurchase: pricing and execution strategy

Résumé

In this article, we consider a specific optimal execution problem associated to accelerated share repurchase contracts. When firms want to repurchase their own shares, they often enter such a contract with a bank. The bank buys the shares for the firm and is paid the average market price over the execution period, the length of the period being decided upon by the bank during the buying process. Mathematically, the problem is new and related to both option pricing (Asian and Bermudan options) and optimal execution. We provide a model, along with associated numerical methods, to determine the optimal stopping time and the optimal buying strategy of the bank.

Dates et versions

hal-01393126 , version 1 (06-11-2016)

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Olivier Guéant, Jiang Pu, Royer Guillaume. Accelerated Share Repurchase: pricing and execution strategy. International Journal of Theoretical and Applied Finance, 2015, 18 (3), ⟨10.1142/S0219024915500193⟩. ⟨hal-01393126⟩
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