Optimal time to sell a stock in the Black-Scholes model: comment on 'Thou shalt buy and hold', by A. Shiryaev, Z. Xu and XY Zhou

Satya N. Majumdar; Jean-Philippe Bouchaud

doi:10.1080/14697680802569093

Optimal time to sell a stock in the Black-Scholes model: comment on 'Thou shalt buy and hold', by A. Shiryaev, Z. Xu and XY Zhou

Satya N. Majumdar^*, Jean-Philippe Bouchaud

^*Corresponding author for this work

University of Groningen

Research output: Contribution to journal › Article › Academic › peer-review

43 Citations (Scopus)

Abstract

We reconsider the problem of the optimal time to sell a stock studied by Shiryaev et al. (2008) (following in this issue of Quantitative Finance) using path integral methods. These methods allow us to confirm the results obtained by these authors and extend them to the entire parameter region. We also obtain the full distribution of the time tm at which the maximum of the price is reached for arbitrary values of the drift.

Original language	English
Article number	906850605
Pages (from-to)	753-760
Number of pages	8
Journal	Quantitative Finance
Volume	8
Issue number	8
DOIs	https://doi.org/10.1080/14697680802569093
Publication status	Published - 2008

Keywords

Optimal selling time
Path integral method
Maximum of a random walk

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KW - Maximum of a random walk

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Optimal time to sell a stock in the Black-Scholes model: comment on 'Thou shalt buy and hold', by A. Shiryaev, Z. Xu and XY Zhou

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