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Optimal Time to Sell a Stock in Black-Scholes Model: Comment on "Thou shall buy and hold", by A. Shiryaev, Z. Xu and X.Y. Zhou

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  • Satya N. Majumdar
  • 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.

Suggested Citation

  • Satya N. Majumdar & Jean-Philippe Bouchaud, 2008. "Optimal Time to Sell a Stock in Black-Scholes Model: Comment on "Thou shall buy and hold", by A. Shiryaev, Z. Xu and X.Y. Zhou," Papers 0809.2878, arXiv.org.
    • Handle: RePEc:arx:papers:0809.2878
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    File URL: http://arxiv.org/pdf/0809.2878
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    Cited by:

    1. Albert Shiryaev & Zuoquan Xu & Xun Yu Zhou, 2008. "Response to comment on 'Thou shalt buy and hold'," Quantitative Finance, Taylor & Francis Journals, vol. 8(8), pages 761-762.

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