On predicting the maximum of a semimartingale and the optimal moment to sell a stock

DOI10.1134/S000511791507005XMaRDI QIDQ500285zbMATH OpenOpenAlexFDO

Authors Roman Ivanov

Publication date 2 October 2015

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s000511791507005x

zbMATH Keywords

exponential semimartingaleprediction of a maximumsell a stock

Mathematics Subject Classification ID

Portfolio theory (91G10) Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Buy low and sell high
• Detecting the maximum of a scalar diffusion with negative drift
• Hyperbolic distributions in finance
• On duality principle for hedging strategies in diffusion models
• On predicting the ultimate maximum for exponential Lévy processes
• On the Heston model with stochastic interest rates
• Optimal stock selling/buying strategy with reference to the ultimate average
• Selling a stock at the ultimate maximum
• The Variance Gamma Process and Option Pricing
• Thou shalt buy and hold

Cited in

(3)

• Examples of optimal prediction in the infinite horizon case
• Selling a stock at the ultimate maximum
• On computing the price of financial instruments in foreign currency

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