Sign in

Optimal liquidation under stochastic liquidity.

Dirk BechererTodor BilarevPeter Frentrup
Published in: Finance Stochastics (2018)
Keyphrases
  • optimal solution
  • dynamic programming
  • database
  • worst case
  • monte carlo
  • exhaustive search
  • locally optimal
  • stochastic dynamic programming
  • data sets
  • information systems
  • state dependent