9 citations · 14 across the 3 of their papers we have counts for
5 papers
General indifference pricing with small transaction costs
Dylan Possamaï, Guillaume Royer
We study the utility indifference price of a European option in the context of small transaction costs. Considering the general setup allowing consumption and a general utility fun…
Accelerated Share Repurchase: pricing and execution strategy
Olivier Guéant, Jiang Pu, Guillaume Royer
In this article, we consider the optimal execution problem associated to accelerated share repurchase contracts. When firms want to repurchase their own shares, they often enter su…
Liquidation of an indivisible asset with independent investment
Emilie Fabre, Guillaume Royer, Nizar Touzi
We provide an extension of the explicit solution of a mixed optimal stopping-optimal stochastic control problem introduced by Henderson and Hobson. The problem examines wether the…
VWAP execution and guaranteed VWAP
Olivier Guéant, Guillaume Royer
Optimal liquidation using VWAP strategies has been considered in the literature, though never in the presence of permanent market impact and only rarely with execution costs. Moreo…
On the Robust superhedging of measurable claims
Dylan Possamaï, Guillaume Royer, Nizar Touzi
The problem of robust hedging requires to solve the problem of superhedging under a nondominated family of singular measures. Recent progress was achieved by [9,11]. We show that t…