Optimal time to invest when the price processes are geometric Brownian motions

Yaozhong Hu () and Bernt Øksendal ()
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Yaozhong Hu: Department of Mathematics, University of Kansas, 405 Snow Hall, Lawrence, KS 66045, USA
Bernt Øksendal: Department of Mathematics, University of Oslo, P.O. Box 1053 Blindern, N-0316 Oslo, Norway and Institute of Finance and Management Science, Norwegian School of Economics and Business Administration, Helleveien 30, N-5035 Bergen-Sandviken, Norway Manuscript

Finance and Stochastics, 1998, vol. 2, issue 3, 295-310

Abstract: Let $X_1(t)$, $\cdots$, $X_n(t)$ be $n$ geometric Brownian motions, possibly correlated. We study the optimal stopping problem: Find a stopping time $\tau^*

Keywords: Geometric Brownian motion; optimal stopping time; continuation region; stopping set (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 1998-05-05
Note: received: April 1996; final version received: July 1997
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Citations: View citations in EconPapers (41)

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