Buy Low and Sell High

Author: 

Jin, H
Dai, M
Zhong, Y
Zhou, X

Publication Date: 

2010

Journal: 

Contemporary Quantitative Finance

Last Updated: 

2020-05-22T18:58:50.383+01:00

DOI: 

10.1007/978-3-642-03479-4

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.

Symplectic id: 

196241

Download URL: 

Submitted to ORA: 

Not Submitted

Publication Type: 

Chapter