Jiang, Yan (2009) Optimal Selling Strategy With Piecewise Linear Drift Function. Masters thesis, Mathematical Institute.
- Submitted Version
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|
|Deposited By:||Laura Auger|
|Deposited On:||24 Jul 2009 07:26|
|Last Modified:||29 May 2015 18:29|
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