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

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dc.creatorMajumdar, Satya N.
dc.creatorBouchaud, Jean-Philippe
dc.date2008-09-17
dc.date.accessioned2026-07-07T12:06:00Z
dc.date.available2026-07-07T12:06:00Z
dc.descriptionWe 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.
dc.description10 pages, 6 figures included
dc.identifierhttps://arxiv.org/abs/0809.2878
dc.identifierhttp://arxiv.org/abs/0809.2878
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208535
dc.subjectPricing of Securities
dc.subjectData Analysis, Statistics and Probability
dc.titleOptimal 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
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