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Optimal Trade Execution under Geometric Brownian Motion in the Almgren and Chriss Framework


Jim Gatheral


Baruch College, CUNY

Alexander Schied


University of Mannheim
October 2, 2012

International Journal of Theoretical and Applied Finance, Vol. 14, No. 3, pp. 353-368, 2011

Abstract:     
With an alternative choice of risk criterion, we solve the HJB equation explicitly to find a closed-form solution for the optimal trade execution strategy in the Almgren-Chriss framework assuming the underlying unaffected stock price process is geometric Brownian motion.

Number of Pages in PDF File: 14

Keywords: HJB, optimal execution, risk measures, market impact

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Date posted: August 6, 2010 ; Last revised: October 3, 2012

Suggested Citation

Gatheral, Jim and Schied, Alexander, Optimal Trade Execution under Geometric Brownian Motion in the Almgren and Chriss Framework (October 2, 2012). International Journal of Theoretical and Applied Finance, Vol. 14, No. 3, pp. 353-368, 2011. Available at SSRN: http://ssrn.com/abstract=1654151

Contact Information

Jim Gatheral (Contact Author)
Baruch College, CUNY ( email )
Department of Mathematics
One Bernard Baruch Way
New York, NY 10010
United States
Alexander Schied
University of Mannheim ( email )
Department of Mathematics
A 5, 6
Mannheim, 68131
Germany
+49-621-181-2513 (Phone)
HOME PAGE: http://www.alexschied.de/
Feedback to SSRN (Beta)


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