NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

On the Scholes Liquidation Problem

David B. Brown, Bruce Ian Carlin, Miguel Sousa Lobo

NBER Working Paper No. 15381
Issued in September 2009

---- Acknowledgements -----

We would like to thank Tobias Adrian, Darrell Duffie, Paul Glasserman, Bengt Holmstrom, Albert ‘Pete’ Kyle, Massimo Massa, Lasse Pedersen, Tano Santos, S. ‘Vish’ Viswanathan, and the participants at a session of INFORMS in Washington DC, USA and at a seminar at Abu Dhabi Investment Authority, UAE for their comments and suggestions. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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