{
  "id": "0809.2878",
  "version": "v1",
  "published": "2008-09-17T08:49:57.000Z",
  "updated": "2008-09-17T08:49:57.000Z",
  "title": "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",
  "authors": [
    "Satya N. Majumdar",
    "Jean-Philippe Bouchaud"
  ],
  "comment": "10 pages, 6 figures included",
  "categories": [
    "q-fin.PR",
    "physics.data-an"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2008-09-17T08:49:57.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "optimal time",
      "black-scholes model",
      "path integral methods",
      "parameter region",
      "full distribution"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 10,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2008arXiv0809.2878M"
    }
  }
}