摘要翻译：
使用VWAP策略的最优清算在文献中被考虑过，尽管从未在存在永久市场影响的情况下，也很少带有执行成本。此外，只对VWAP策略进行了研究，而对有担保的VWAP合同的定价问题从未进行过讨论。在本文中，我们建立了一个模型，在一个市场影响的一般框架下对有担保的VWAP合同进行定价，我们强调了代理VWAP和有担保的VWAP合同之间的差异。文中还提供了数值方法和应用。
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英文标题：
《VWAP execution and guaranteed VWAP》
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作者：
Olivier Gu\\\'eant, Guillaume Royer
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最新提交年份：
2014
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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英文摘要：
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. Moreover, only VWAP strategies have been studied and the pricing of guaranteed VWAP contracts has never been addressed. In this article, we develop a model to price guaranteed VWAP contracts in a general framework for market impact and we highlight the differences between an agency VWAP and a guaranteed VWAP contract. Numerical methods and applications are also provided.
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