衍生品的最优执行

P. Novotný
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引用次数: 0

摘要

我们提出了一个金融衍生品的最优执行模型。我们证明,如果考虑到衍生品承销商的再套期保值,即使对于确定性的价格影响函数,最优策略通常也是不确定性的。当价格影响函数相对于风险资产产生的过滤是可测量的时,这种方法可以用于风险资产的最佳执行。
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Optimal Execution of Derivatives
We present a model for optimal execution of the financial derivatives. We show that if rehedging of the underwriter of the derivative is considered, the optimal strategy is generally non-deterministic even for deterministic price impact functions. This approach can be utilized for optimal execution of the risky asset when the price impact functions are measurable with respect to the filtration generated by the risky asset.
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