Ferrari, Giorgio; Koch, Torben: An optimal extraction problem with price impact. In: . Jg.603. 2018
Inhalt
- 1. Introduction
- 2. Setting and Problem Formulation
- 3. Preliminary Results and a Verification Theorem
- 4. Constructing the Optimal Solution
- 4.1. b=0: The Case of a Drifted Brownian Motion Fundamental Price
- 4.2. b>0: The Case of a Mean-Reverting Fundamental Price
- 5. Comparative Statics Analysis
- 5.1. Sensitivity Analysis in the Case of a Drifted Brownian Motion Fundamental Price
- 5.2. Sensitivity Analysis in the Case of an Ornstein-Uhlenbeck Fundamental Price
- Appendix A. Proofs of Results from Sections 4.2 and 5.2
- Appendix B. An Auxiliary Result
- References