arXiv:0809.2878 Abstract | arXiv Analytics

arXiv:0809.2878 [q-fin.PR]Abstract References Reviews Resources

Optimal Time to Sell a Stock in Black-Scholes Model: Comment on "Thou shall buy and hold", by A. Shiryaev, Z. Xu and X.Y. Zhou

Satya N. Majumdar, Jean-Philippe Bouchaud

Published 2008-09-17Version 1

We reconsider the problem of optimal time to sell a stock studied recently by Shiryaev, Xu and Zhou using path integral methods. This method allows us to confirm the results obtained by these authors and extend them to a parameter region inaccessible to the method used by Shiryaev et. al. We also obtain the full distribution of the time t_m at which the maximum of the price is reached for arbitrary values of the drift.

Comments: 10 pages, 6 figures included

Categories: q-fin.PR, physics.data-an

Keywords: optimal time, black-scholes model, path integral methods, parameter region, full distribution

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