Abstract
We present a model for optimal execution of the financial derivatives. We show that if rehedging of the underwriter of the derivative is considered, the optimal strategy is generally non-deterministic even for deterministic price impact functions. This approach can be utilized for optimal execution of the risky asset when the price impact functions are measurable with respect to the filtration generated by the risky asset.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
