Optimal stock selling/buying strategy with reference to the ultimate average

DOI10.1111/J.1467-9965.2010.00456.XzbMATH Open1278.91132OpenAlexW3124279251MaRDI QIDQ4906544FDOQ4906544

Min Dai, Yifei Zhong

Publication date: 28 February 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00456.x

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• scientific article; zbMATH DE number 558390

zbMATH Keywords

ultimate averageoptimal selling/buying strategytime-vesting

Mathematics Subject Classification ID

Portfolio theory (91G10) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

Cites Work

• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• The value of an Asian option
• Selling a stock at the ultimate maximum
• Stopping Brownian motion without anticipation as close as possible to its ultimate maximum
• Thou shalt buy and hold
• User’s guide to viscosity solutions of second order partial differential equations
• Optimal prediction of the ultimate maximum of Brownian motion
• The trap of complacency in predicting the maximum
• Convergence of Binomial Tree Methods for European/American Path-Dependent Options
• Quadratic convergence for valuing American options using a penalty method
• Title not available (Why is that?)
• The Mathematics of Financial Derivatives
• CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
• A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
• CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
• 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
• ASIAN OPTIONS WITH THE AMERICAN EARLY EXERCISE FEATURE
• OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
• Intensity-based framework and penalty formulation of optimal stopping problems
• Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options
• A Dynamic Programming Procedure for Pricing American-Style Asian Options
• Response to comment on ‘Thou shalt buy and hold’

Cited In (10)

• Optimal selling time in stock market over a finite time horizon
• A bilevel programming approach to double optimal stopping
• OPTIMAL EXECUTION HORIZON
• Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty
• OPTIMAL SELLING STRATEGY WITH A LARGE BLOCK OF STOCK
• Optimal stopping time of a portfolio selection problem with multi-assets
• Selling a stock at the ultimate maximum
• Two Rationales Behind the ‘Buy-And-Hold or Sell-At-Once’ Strategy
• On predicting the maximum of a semimartingale and the optimal moment to sell a stock
• A Variational Inequality Sufficient Condition for Optimal Stopping with Application to an Optimal Stock Selling Problem

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