The Mathematical Institute, University of Oxford, Eprints Archive

Optimal Selling Strategy With Piecewise Linear Drift Function

Jiang, Yan (2009) Optimal Selling Strategy With Piecewise Linear Drift Function. Masters thesis, Mathematical Institute.

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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 impact on the selling strategy.

Keywords: piecewise linear drift function, optimal stopping time, value function, selling region, holding

Item Type:Thesis (Masters)
Subjects:H - N > Mathematics education
Research Groups:Mathematical and Computational Finance Group
ID Code:790
Deposited By: Laura Auger
Deposited On:24 Jul 2009 07:26
Last Modified:29 May 2015 18:29

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