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

PDF
 Submitted Version
329kB 
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 impact on the selling strategy.
Keywords: piecewise linear drift function, optimal stopping time, value function, selling region, holding
region
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 
Repository Staff Only: item control page