Thesis
Optimal Selling Strategy With Piecewise Linear Drift Function
- Abstract:
-
In this paper the optimal decision to sell a stock in a given time is investigated when the drift term in Black Scholes setting is a piecewise linear function of time. The goal is to minimize the expected relative error between the discounted selling price and the discounted maximum price over a given time horizon. With the drift changing to a piecewise linear function, we are interested in that if the trend of the stock price changes during the same time horizon, and what would be the impac...
Expand abstract
Actions
Authors
Bibliographic Details
- Publisher:
- Mathematical Institute;University of Oxford
- Publication date:
- 2009-07-03
Item Description
- UUID:
-
uuid:3acbff75-35a3-4026-988e-e94d0099f3ca
- Local pid:
- oai:eprints.maths.ox.ac.uk:790
- Deposit date:
- 2011-05-20
Related Items
Terms of use
- Copyright holder:
- Jiang, Y
- Copyright date:
- 2009
Metrics
If you are the owner of this record, you can report an update to it here: Report update to this record