OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS
We consider the problem facing a risk averse agent who seeks to liquidate or exercise a portfolio of (infinitely divisible) perpetual American style options on a single underlying asset. The optimal liquidation strategy is of threshold form and can be characterized explicitly as the solution of a ca...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2011
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