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

We reconsider the problem of the optimal time to sell a stock studied by Shiryaev et al. (2008) (following in this issue of Quantitative Finance) using path integral methods. These methods allow us to confirm the results obtained by these authors and extend them to the entire parameter region. We also obtain the full distribution of the time tm at which the maximum of the price is reached for arbitrary values of the drift.

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Year of publication:	2008
Authors:	Majumdar, Satya ; Bouchaud, Jean-Philippe
Published in:	Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 8.2008, 8, p. 753-760
Publisher:	Taylor & Francis Journals
Subject:	Optimal selling time \| Path integral method \| Maximum of a random walk

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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