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Optimal Time to Sell a Stock in Black-Scholes Model: Comment on

By Satya N. Majumdar and Jean-Philippe Bouchaud

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.

OAI identifier: oai:RePEc:arx:papers:0809.2878
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