Optimal selling time in stock market over a finite time horizon
From MaRDI portal
Publication:692685
DOI10.1007/s10255-012-0169-zzbMath1254.91730OpenAlexW2070171837MaRDI QIDQ692685
Siu Pang Yung, Wei Zhou, Sheung Chi Phillip Yam
Publication date: 6 December 2012
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10255-012-0169-z
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) General equilibrium theory (91B50) Corporate finance (dividends, real options, etc.) (91G50)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The trap of complacency in predicting the maximum
- An extension of P. Lévy's distributional properties to the case of a Brownian motion with drift
- Selling a stock at the ultimate maximum
- A change-of-variable formula with local time on curves
- Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum
- A Unified “Bang-Bang” Principle with Respect to ${\ccR}$-Invariant Performance Benchmarks
- A General ‘Bang-Bang’ Principle for Predicting the Maximum of a Random Walk
- Two Rationales Behind the ‘Buy-And-Hold or Sell-At-Once’ Strategy
- Thou shalt buy and hold
- Optimal prediction of the ultimate maximum of Brownian motion
- OPTIMAL STOCK SELLING/BUYING STRATEGY WITH REFERENCE TO THE ULTIMATE AVERAGE