Abstract | ||
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We aim to determine an optimal stock selling time to minimize the expectation of the square error between the selling price and the global maximum price over a given period. Assuming that stock price follows the geometric Brownian motion, we formulate the problem as an optimal stopping time problem or, equivalently, a variational inequality problem. We provide a partial differential equation (PDE) approach to characterize the resulting free boundary that corresponds to the optimal selling strategy. The monotonicity and smoothness of the free boundary are addressed as well. |
Year | DOI | Venue |
---|---|---|
2012 | 10.1137/110844179 | SIAM JOURNAL ON CONTROL AND OPTIMIZATION |
Keywords | Field | DocType |
optimal selling strategy,global maximum,square error,variational inequality | Monotonic function,Mathematical optimization,Stock price,Square error,Optimal stopping time,Smoothness,Partial differential equation,Mathematics,Geometric Brownian motion,Variational inequality | Journal |
Volume | Issue | ISSN |
50 | 4 | 0363-0129 |
Citations | PageRank | References |
3 | 1.07 | 5 |
Authors | ||
3 |
Name | Order | Citations | PageRank |
---|---|---|---|
Min Dai | 1 | 34 | 6.01 |
Zhou Yang | 2 | 3 | 1.07 |
Yifei Zhong | 3 | 4 | 1.42 |