英文标题：
《Accelerated Share Repurchase: pricing and execution strategy》
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作者：
Olivier Gu\\\'eant, Jiang Pu, Guillaume Royer
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最新提交年份：
2014
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英文摘要：
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 such a contract with a bank. The bank buys the shares for the firm and is paid the average market price over the execution period, the length of the period being decided upon by the bank during the buying process. Mathematically, the problem is new and related to both option pricing (Asian and Bermudan options) and optimal execution. We provide a model, along with associated numerical methods, to determine the optimal stopping time and the optimal buying strategy of the bank.
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中文摘要：
在本文中，我们考虑与加速股份回购合同相关的最优执行问题。当公司想要回购自己的股份时，他们通常会与银行签订这样的合同。银行为公司购买股票，并按照执行期内的平均市场价格支付，期限由银行在购买过程中决定。从数学上讲，这个问题是新的，与期权定价（亚洲和百慕大期权）和最优执行有关。我们提供了一个模型，以及相关的数值方法，以确定银行的最佳停止时间和最佳购买策略。
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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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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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