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...
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| Format: | Thesis |
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Mathematical Institute;University of Oxford
2009
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| _version_ | 1797112447161597952 |
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| author | Jiang, Y |
| author_facet | Jiang, Y |
| author_sort | Jiang, Y |
| collection | OXFORD |
| description | 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 |
| first_indexed | 2024-03-07T08:24:24Z |
| format | Thesis |
| id | oxford-uuid:3acbff75-35a3-4026-988e-e94d0099f3ca |
| institution | University of Oxford |
| last_indexed | 2024-03-07T08:24:24Z |
| publishDate | 2009 |
| publisher | Mathematical Institute;University of Oxford |
| record_format | dspace |
| spelling | oxford-uuid:3acbff75-35a3-4026-988e-e94d0099f3ca2024-02-12T11:38:31ZOptimal Selling Strategy With Piecewise Linear Drift FunctionThesishttp://purl.org/coar/resource_type/c_db06uuid:3acbff75-35a3-4026-988e-e94d0099f3caMathematical Institute - ePrintsMathematical Institute;University of Oxford2009Jiang, YIn 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 |
| spellingShingle | Jiang, Y Optimal Selling Strategy With Piecewise Linear Drift Function |
| title | Optimal Selling Strategy With Piecewise Linear Drift Function |
| title_full | Optimal Selling Strategy With Piecewise Linear Drift Function |
| title_fullStr | Optimal Selling Strategy With Piecewise Linear Drift Function |
| title_full_unstemmed | Optimal Selling Strategy With Piecewise Linear Drift Function |
| title_short | Optimal Selling Strategy With Piecewise Linear Drift Function |
| title_sort | optimal selling strategy with piecewise linear drift function |
| work_keys_str_mv | AT jiangy optimalsellingstrategywithpiecewiselineardriftfunction |