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    Chapter

    Optimal Execution of Derivatives: A Taylor Expansion Approach

    In this chapter, we derive the Markowitz-optimal trading trajectory for a trader who wishes to sell a large position of Kunits on some contingent claim. To do so, we first use a Taylor expansion of the derivative...

    Gerardo Hernandez-del-Valle, Yuemeng Sun in Optimization, Control, and Applications of… (2012)