  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.
