  In this article, we develop a general framework to study optimal execution
and to price block trades. We prove existence of optimal liquidation strategies
and we provide regularity results for optimal strategies under very general
hypotheses. We exhibit a Hamiltonian characterization for the optimal strategy
that can be used for numerical approximation. We also focus on the important
topic of block trade pricing and we propose a methodology to give a price to
financial (il)liquidity. In particular, we provide a closed-form formula for
the price of a block trade when there is no time constraint to liquidate.
