Whether to sell or hold a stock. (English) Zbl 1132.93351
Summary: For a simple model of a stock, whose stock price is a geometric Brownian motion
in which the drift rate changes back and forth between positive and negative values, optimal selling
times are computed. An infinite optimal selling time meaning you should just hold the stock.
MSC:
93E20 | Optimal stochastic control |
60G40 | Stopping times; optimal stopping problems; gambling theory |
91G80 | Financial applications of other theories |