Optimal Trade Execution under Jump Diffusion Process: A Mean-VaR Approach
نویسندگان
چکیده
منابع مشابه
Option Pricing under a Mean Reverting Process with Jump-Diffusion and Jump Stochastic Volatility
An alternative option pricing model is proposed, in which the asset prices follow the jump-diffusion and exhibits mean reversion. The stochastic volatility follows the jump-diffusion with mean reversion. We find a formulation for the European-style option in terms of characteristic functions.
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In the execution cost problem, an investor wants to minimize the total expected cost and risk in the execution of a portfolio of risky assets to achieve desired positions. A major source of the execution cost comes from price impacts of both the investor’s own trades and other concurrent institutional trades. Indeed price impact of large trades have been considered as one of the main reasons fo...
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ژورنال
عنوان ژورنال: Discrete Dynamics in Nature and Society
سال: 2018
ISSN: 1026-0226,1607-887X
DOI: 10.1155/2018/4721596