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Stochastic Impact Boundary
Here is an applet to explore dependence of the optimal free boundary on several model parameters in our optimal liquidation problem with stochastic impact [BBF17].
![Mathematica Applet for exploring the free boundary in our optimal liquidation problem with stochastic impact [BBF17]](play-stoch-bdry-1.png)
You can also download the Mathematica-Applet.
References
- [BBF17]
- D. Becherer, T. Bilarev and P. Frentrup.
Optimal liquidation under stochastic liquidity,
Finance and Stochastics (2017),
doi: 10.1007/s00780-017-0346-2,
preprint available on arXiv: 1603.06498.