Optimal Liquidation under Stochastic Liquidity

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Becherer, Dirk; Bilarev, Todor; Frentrup, Peter;
(2016)
  • Related identifiers: doi: 10.1007/s00780-017-0346-2
  • Subject: Mathematics - Optimization and Control | Mathematics - Probability | Quantitative Finance - Trading and Market Microstructure | Quantitative Finance - Mathematical Finance | 35R35, 49J40, 49L20, 60H30, 60J50, 60J55, 93E20, 91G80

We solve explicitly a two-dimensional singular control problem of finite fuel type for infinite time horizon. The problem stems from the optimal liquidation of an asset position in a financial market with multiplicative and transient price impact. Liquidity is stochasti... View more
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