"A Closed-Form Execution Strategy to Target Volume Weighted Average Price."

Álvaro Cartea, Sebastian Jaimungal (2016)

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DOI: 10.1137/16M1058406

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type: Journal Article

metadata version: 2024-02-05

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Álvaro Cartea, Sebastian Jaimungal:
A Closed-Form Execution Strategy to Target Volume Weighted Average Price. SIAM J. Financial Math. 7(1): 760-785 (2016)

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