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

Quantitative Finance

Volumn 8, Issue 8, 2008, Pages 753-760

  Majumdar, Satya N ^a   Bouchaud, Jean Philippe ^b  

^a UNIVERSITÉ PARIS SUD   (France)

^b Science and Finance   (France)

Author keywords

Maximum of a random walk; Optimal selling time; Path integral method

Indexed keywords

EID: 57749098992     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680802569093     Document Type: Article

References (8)

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2. Dai, M., Jin, H., Zhong, Y, and Zhou, X.Y., Buy on the lows and sell on the highs, 2008 (Working paper, Mathematical Institute, University of Oxford).
3. Majumdar, S.N., Brownian functionals in physics and computer science. Current Sci., 2005, 89, 2076-2092 (Also available at cond-mat/0510064.).
4. Majumdar, S.N., Randon-Furling, J., Kearney, M.J. and Yor, M., On the time to reach maximum for a variety of constrained Brownian motions. J. Phys, A: Math, Theor, 2008, 41, 365005.
5. Feller, W., An Introduction to Probability Theory and Its Applications, Vol. I and II, 1968 (Wiley: New York).
6. Redner, S., A Guide to First-passage Processes, 2001 (Cambridge University Press: Cambridge, UK).
7. Lévy, P.. Sur certains processus stochastiques homogènes. Compos. Math, 1939, 7, 283-339.
8. Randon-Furling, J. and Majumdar, S.N., Distribution of the time at which the deviation of a Brownian motion is maximum before its first-passage time. J. Stat. Mech. Theory Exp, 2007, P10008.