2 papers
q-fin.MF2026
Pricing and Hedging Financial Derivatives in Merger\&Acquisition Deals with Price Impact
Emilio Barucci, Yuheng Lan, Daniele Marazzina
We investigate the optimal execution of contracts that are used in merger\&acquisition deals. We consider cash-settled and physically delivered contracts between a broker and a cou…
q-fin.MF2025
Shortermism and excessive risk taking in optimal execution with a target performance
Emilio Barucci, Yuheng Lan
We deal with the optimal execution problem when the broker's goal is to reach a performance barrier avoiding a downside barrier. The performance is provided by the wealth accumulat…