On the Scholes Liquidation Problem
NBER Working Paper No. 15381
---- 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.