Matches in SemOpenAlex for { <https://semopenalex.org/work/W2897744047> ?p ?o ?g. }
Showing items 1 to 90 of
90
with 100 items per page.
- W2897744047 abstract "This paper considers the optimal exercise decision for selling a large block of stocks, which price is decreased for the liquidity reasons. Mean reverting process is been used to describe the market liquidity factor. The stock price follows a geometric Brownian motion, and is characterised by a stochastic price impact function related to the market liquidity factor. Using dynamic programming principle, the Hamilton-Jacobi-Bellman (H1B)equation is given. In the constraint viscosity solution flame, we obtain the comparison principle and the uniqueness. Finally, the numerical simulation is discussed." @default.
- W2897744047 created "2018-10-26" @default.
- W2897744047 creator A5019201819 @default.
- W2897744047 creator A5088080991 @default.
- W2897744047 date "2018-07-01" @default.
- W2897744047 modified "2023-10-16" @default.
- W2897744047 title "Optimal Stock Liquidation Under the Liquidity Factor Characterized by Mean Reverting Model" @default.
- W2897744047 cites W1558902221 @default.
- W2897744047 cites W2001770658 @default.
- W2897744047 cites W2056151499 @default.
- W2897744047 cites W2073792327 @default.
- W2897744047 cites W3121773157 @default.
- W2897744047 doi "https://doi.org/10.23919/chicc.2018.8482907" @default.
- W2897744047 hasPublicationYear "2018" @default.
- W2897744047 type Work @default.
- W2897744047 sameAs 2897744047 @default.
- W2897744047 citedByCount "1" @default.
- W2897744047 countsByYear W28977440472019 @default.
- W2897744047 crossrefType "proceedings-article" @default.
- W2897744047 hasAuthorship W2897744047A5019201819 @default.
- W2897744047 hasAuthorship W2897744047A5088080991 @default.
- W2897744047 hasConcept C10138342 @default.
- W2897744047 hasConcept C101615488 @default.
- W2897744047 hasConcept C105795698 @default.
- W2897744047 hasConcept C112401455 @default.
- W2897744047 hasConcept C126255220 @default.
- W2897744047 hasConcept C127288500 @default.
- W2897744047 hasConcept C134306372 @default.
- W2897744047 hasConcept C135205223 @default.
- W2897744047 hasConcept C136264566 @default.
- W2897744047 hasConcept C144237770 @default.
- W2897744047 hasConcept C149782125 @default.
- W2897744047 hasConcept C151730666 @default.
- W2897744047 hasConcept C162324750 @default.
- W2897744047 hasConcept C182306322 @default.
- W2897744047 hasConcept C183582576 @default.
- W2897744047 hasConcept C2777021972 @default.
- W2897744047 hasConcept C2780299701 @default.
- W2897744047 hasConcept C2780378061 @default.
- W2897744047 hasConcept C2780762169 @default.
- W2897744047 hasConcept C28826006 @default.
- W2897744047 hasConcept C33923547 @default.
- W2897744047 hasConcept C51926234 @default.
- W2897744047 hasConcept C556758197 @default.
- W2897744047 hasConcept C68710425 @default.
- W2897744047 hasConcept C86803240 @default.
- W2897744047 hasConcept C88731125 @default.
- W2897744047 hasConceptScore W2897744047C10138342 @default.
- W2897744047 hasConceptScore W2897744047C101615488 @default.
- W2897744047 hasConceptScore W2897744047C105795698 @default.
- W2897744047 hasConceptScore W2897744047C112401455 @default.
- W2897744047 hasConceptScore W2897744047C126255220 @default.
- W2897744047 hasConceptScore W2897744047C127288500 @default.
- W2897744047 hasConceptScore W2897744047C134306372 @default.
- W2897744047 hasConceptScore W2897744047C135205223 @default.
- W2897744047 hasConceptScore W2897744047C136264566 @default.
- W2897744047 hasConceptScore W2897744047C144237770 @default.
- W2897744047 hasConceptScore W2897744047C149782125 @default.
- W2897744047 hasConceptScore W2897744047C151730666 @default.
- W2897744047 hasConceptScore W2897744047C162324750 @default.
- W2897744047 hasConceptScore W2897744047C182306322 @default.
- W2897744047 hasConceptScore W2897744047C183582576 @default.
- W2897744047 hasConceptScore W2897744047C2777021972 @default.
- W2897744047 hasConceptScore W2897744047C2780299701 @default.
- W2897744047 hasConceptScore W2897744047C2780378061 @default.
- W2897744047 hasConceptScore W2897744047C2780762169 @default.
- W2897744047 hasConceptScore W2897744047C28826006 @default.
- W2897744047 hasConceptScore W2897744047C33923547 @default.
- W2897744047 hasConceptScore W2897744047C51926234 @default.
- W2897744047 hasConceptScore W2897744047C556758197 @default.
- W2897744047 hasConceptScore W2897744047C68710425 @default.
- W2897744047 hasConceptScore W2897744047C86803240 @default.
- W2897744047 hasConceptScore W2897744047C88731125 @default.
- W2897744047 hasLocation W28977440471 @default.
- W2897744047 hasOpenAccess W2897744047 @default.
- W2897744047 hasPrimaryLocation W28977440471 @default.
- W2897744047 hasRelatedWork W2017286048 @default.
- W2897744047 hasRelatedWork W2113308485 @default.
- W2897744047 hasRelatedWork W2889732687 @default.
- W2897744047 hasRelatedWork W2897744047 @default.
- W2897744047 hasRelatedWork W3032036997 @default.
- W2897744047 hasRelatedWork W3121403055 @default.
- W2897744047 hasRelatedWork W3124882292 @default.
- W2897744047 hasRelatedWork W3144567661 @default.
- W2897744047 hasRelatedWork W3150514326 @default.
- W2897744047 hasRelatedWork W1888649331 @default.
- W2897744047 isParatext "false" @default.
- W2897744047 isRetracted "false" @default.
- W2897744047 magId "2897744047" @default.
- W2897744047 workType "article" @default.