Optimal Time to Sell a Stock in Black-Scholes Model: Comment on "Thou shall buy and hold", by A. Shiryaev, Z. Xu and X.Y. Zhou

Satya N. Majumdar and Jean-Philippe Bouchaud ()
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Satya N. Majumdar: LPTMS - Laboratoire de Physique Théorique et Modèles Statistiques - UP11 - Université Paris-Sud - Paris 11 - CNRS - Centre National de la Recherche Scientifique
Jean-Philippe Bouchaud: Science et Finance - Science et Finance

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Abstract: We reconsider the problem of optimal time to sell a stock studied recently by Shiryaev, Xu and Zhou using path integral methods. This method allows us to confirm the results obtained by these authors and extend them to a parameter region inaccessible to the method used by Shiryaev et. al. We also obtain the full distribution of the time t_m at which the maximum of the price is reached for arbitrary values of the drift.

Date: 2008
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Published in Quantitative Finance, 2008, 8, pp.753-760

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00370787

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