Optimal time to sell a stock in the Black–Scholes model: comment on ‘Thou shalt buy and hold’, by A. Shiryaev, Z. Xu and X.Y. Zhou

DOI10.1080/14697680802569093MaRDI QIDQ3605235zbMATH OpenOpenAlexFDO

Authors Satya N. Majumdar, Jean-Philippe Bouchaud

Publication date 23 February 2009

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0809.2878

zbMATH Keywords

maximum of a random walkoptimal selling timepath integral method

Mathematics Subject Classification ID

Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20)

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.

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Cites work

• scientific article; zbMATH DE number 3249395 (Why is no real title available?)
• On the time to reach maximum for a variety of constrained Brownian motions
• Thou shalt buy and hold

Cited in

(21)

• Universal order statistics for random walks \& Lévy flights
• Extreme value statistics of correlated random variables: a pedagogical review
• Extreme value statistics from the real space renormalization group: Brownian motion, Bessel processes and continuous time random walks
• Response to comment on ‘Thou shalt buy and hold’
• Thou shalt buy and hold
• Maximal distance travelled by \(N\) vicious walkers till their survival
• Optimal stock selling/buying strategy with reference to the ultimate average
• Generating stochastic trajectories with global dynamical constraints
• Generalised ``arcsine laws for run-and-tumble particle in one dimension
• Smoluchowski flux and lamb-lion problems for random walks and Lévy flights with a constant drift
• On a stochastic version of the trading rule “Buy and Hold”
• Generating constrained run-and-tumble trajectories
• A stationary model of non-intersecting directed polymers
• Universal first-passage properties of discrete-time random walks and Lévy flights on a line: statistics of the global maximum and records
• Extremal statistics for first-passage trajectories of drifted Brownian motion under stochastic resetting
• Generalized arcsine laws for a sluggish random Walker with subdiffusive growth
• First-passage and extreme value statistics for overdamped Brownian motion in a linear potential
• Optimal conditions for first passage of jump processes with resetting
• First-passage statistics for Lévy flights with a drift
• The trade-off between growth and risk in Kelly's gambling and beyond
• On certain functionals of the maximum of Brownian motion and their applications

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