Optimal Selling Strategy With Piecewise Linear Drift Function
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 giv...
| Autor Principal: | |
|---|---|
| Formato: | Thesis |
| Publicado: |
Mathematical Institute;University of Oxford
2009
|