Olivier Edmond Guéant

Université Paris VII Denis Diderot

2, place Jussieu

Paris, 75005

France

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.

Optimal Execution of Accelerated Share Repurchase Contracts with Fixed Notional

Journal of Risk, Vol. 19, No. 5, 2017
Number of pages: 24 Posted: 01 Jun 2017
Olivier Edmond Guéant
Université Paris VII Denis Diderot
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optimal execution, ASR contracts, optimal stopping, stochastic optimal control, utility indifference pricing

2.

Option Pricing and Hedging with Execution Costs and Market Impact

Mathematical Finance, Vol. 27, Issue 3, pp. 803-831, 2017
Number of pages: 29 Posted: 15 Jun 2017
Olivier Edmond Guéant and Jiang Pu
Université Paris VII Denis Diderot and Europlace Institute of Finance
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Citation 8
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option pricing, option hedging, illiquid markets, optimal execution, stochastic optimal control

3.

General Intensity Shapes in Optimal Liquidation

Mathematical Finance, Vol. 25, Issue 3, pp. 457-495, 2015
Number of pages: 39 Posted: 05 Jun 2015
Olivier Edmond Guéant and Charles‐Albert Lehalle
Université Paris VII Denis Diderot and Capital Fund Management
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Citation 12
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optimal liquidation, limit orders, stochastic optimal control, viscosity solutions