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

DOI10.1111/J.1467-9965.2010.00456.XMaRDI QIDQ4906544zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

optimal selling/buying strategytime-vestingultimate average

Mathematics Subject Classification ID

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

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Cites work

• A dynamic programming procedure for pricing American-style Asian options
• A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
• ASIAN OPTIONS WITH THE AMERICAN EARLY EXERCISE FEATURE
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
• Convergence of Binomial Tree Methods for European/American Path-Dependent Options
• CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
• scientific article; zbMATH DE number 3899626 (Why is no real title available?)
• Intensity-based framework and penalty formulation of optimal stopping problems
• Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options
• Optimal prediction of the ultimate maximum of Brownian motion
• OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
• 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
• Quadratic convergence for valuing American options using a penalty method
• Response to comment on ‘Thou shalt buy and hold’
• Selling a stock at the ultimate maximum
• Stopping Brownian motion without anticipation as close as possible to its ultimate maximum
• The Mathematics of Financial Derivatives
• The trap of complacency in predicting the maximum
• The value of an Asian option
• Thou shalt buy and hold
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(13)

• Optimal stopping time of a portfolio selection problem with multi-assets
• Selling a stock at the ultimate maximum
• A bilevel programming approach to double optimal stopping
• The analysis of the stock buy-and-sell rule with reference to the ultimate average
• Optimal stock selling based on the global maximum
• Two Rationales Behind the ‘Buy-And-Hold or Sell-At-Once’ Strategy
• A Variational Inequality Sufficient Condition for Optimal Stopping with Application to an Optimal Stock Selling Problem
• On predicting the maximum of a semimartingale and the optimal moment to sell a stock
• Optimal redeeming strategy of stock loans under drift uncertainty
• OPTIMAL SELLING STRATEGY WITH A LARGE BLOCK OF STOCK
• OPTIMAL EXECUTION HORIZON
• Optimal selling time in stock market over a finite time horizon
• Optimal selling time of a stock under capital gains taxes

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