Dispensing with optimal control: a new approach for the pricing and management of share buyback contracts

By Bastien Baldacci, Philippe Bergault, Olivier Guéant

Published 2024-05-24

Everscope rating

1606.5

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Optimized Heuristic Strategy. Problem types: Optimal Stopping, Pricing, Risk Management.

arXiv:2404.13754 · Paper rankings

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