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

被引：42

作者：

Majumdar, Satya N. ^{[1
]}

Bouchaud, Jean-Philippe ^{[2
]}

机构：

[1] Univ Paris 11, CNRS, Lab Phys Theor & Modeles Stat, UMR 8626, F-91405 Orsay, France

[2] Capital Fund Management, Sci & Finance, F-75009 Paris, France

来源：

QUANTITATIVE FINANCE | 2008年 / 8卷 / 08期

关键词：

Optimal selling time; Path integral method; Maximum of a random walk;

D O I：

10.1080/14697680802569093

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：753 / 760

页数：8

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[2]

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[3]

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[7]

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QUANTITATIVE FINANCE, 2008, 8 (08) :765-776

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