Selling a stock at the ultimate maximum

DOI10.1214/08-AAP566zbMath1201.60037arXiv0908.1014MaRDI QIDQ2389600

Goran Peskir, Jacques Du Toit

Publication date: 17 July 2009

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.1014

zbMATH Keywords

optimal stopping; geometric Brownian motion; smooth fit; ultimate maximum

Mathematics Subject Classification ID

60J65: Brownian motion

60G40: Stopping times; optimal stopping problems; gambling theory

91G80: Financial applications of other theories

62L15: Optimal stopping in statistics

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