Journal title
Contemporary Quantitative Finance
DOI
10.1007/978-3-642-03479-4
Last updated
2023-02-25T02:12:45.877+00:00
Page
317-334
Abstract
In trading stocks investors naturally aspire to “buy low and sell high (BLSH)”. This
paper formalizes the notion of BLSH by formulating stock buying/selling in terms of
four optimal stopping problems involving the global maximum and minimum of the
stock prices over a given investment horizon. Assuming that the stock price process fol-
lows a geometric Brownian motion, all the four problems are solved and buying/selling
strategies completely characterized via a free-boundary PDE approach.
paper formalizes the notion of BLSH by formulating stock buying/selling in terms of
four optimal stopping problems involving the global maximum and minimum of the
stock prices over a given investment horizon. Assuming that the stock price process fol-
lows a geometric Brownian motion, all the four problems are solved and buying/selling
strategies completely characterized via a free-boundary PDE approach.
Symplectic ID
196241
Download URL
http://www.maths.ox.ac.uk/~jinh
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Publication type
Chapter
Publication date
2010