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Applied Mathematical Finance Volume 21, 2014 - Issue 4
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Original Articles

Optimal Trade Execution Under Stochastic Volatility and Liquidity

Patrick CheriditoDepartment of Operations Research and Financial Engineering (ORFE), Princeton University, Princeton, NJ08544, USACorrespondence[email protected]
&
Tardu SepinDepartment of Operations Research and Financial Engineering (ORFE), Princeton University, Princeton, NJ08544, USA
Pages 342-362 | Received 27 Jan 2012, Accepted 17 Dec 2013, Published online: 31 Jan 2014

References

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