2014/10/06 by Olivier Guéant, Guéant, Olivier
Decision Sciences · Economics, Econometrics and Finance · #Business #Capital Investment and Risk Analysis #Computer science #Corporate governance #Economic theories and models #Economics #FOS: Economics and business #Finance #Financial Markets and Investment Strategies #Fixed interest rate loan #Interest rate #Monetary economics #Notional amount #Order (exchange) #Risk and Portfolio Optimization #Shareholder #Stochastic processes and financial applications #Stock exchange #Trading and Market Microstructure (q-fin.TR) #q-fin.TR
paper · pdf · doi:10.48550/arxiv.1410.1481
openalex publication_date 2014/10/06 · arxiv created 2016/05/04 · arxiv updated 2016/05/05 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/08
Be it for taking advantage of stock undervaluation or in order to distribute part of their profits to shareholders, firms may buy back their own shares. One of the way they proceed is by including Accelerated Share Repurchases (ASR) as part of their repurchase programs. In this article, we study the pricing and optimal execution strategy of an ASR contract with fixed notional. In such a contract the firm pays a fixed notional F to the bank and receives, in exchange, a number of shares corresponding to the ratio between F and the average stock price over the purchase period, the duration of this period being decided upon by the bank. From a mathematical point of view, the problem is related to both optimal execution and exotic option pricing.