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article · Oxford University Research Archive (ORA) (University of Oxford) · 2009

Optimal Selling Strategy With Piecewise Linear Drift Function

Yankun Jiang

Cited by 0Open access

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

Cite this paper

APA 7

Jiang, Y. (2009). Optimal Selling Strategy With Piecewise Linear Drift Function. Oxford University Research Archive (ORA) (University of Oxford).

MLA 9

Jiang, Yankun. “Optimal Selling Strategy With Piecewise Linear Drift Function.” Oxford University Research Archive (ORA) (University of Oxford), 2009.

Chicago

Jiang, Yankun. 2009. “Optimal Selling Strategy With Piecewise Linear Drift Function.” Oxford University Research Archive (ORA) (University of Oxford).

Harvard

Jiang, Y. (2009) ‘Optimal Selling Strategy With Piecewise Linear Drift Function’, Oxford University Research Archive (ORA) (University of Oxford).

BibTeX
@article{jiang2009optimal,
  title = {{Optimal Selling Strategy With Piecewise Linear Drift Function}},
  author = {Jiang, Yankun},
  journal = {Oxford University Research Archive (ORA) (University of Oxford)},
  year = {2009}
}

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