Optimal Stopping Time for Holding an Asset
Pham Van Khanh
Military Technical Academy, Hanoi, Vietnam.
DOI: 10.4236/ajor.2012.24062   PDF    HTML     5,828 Downloads   9,340 Views   Citations


In this paper, we consider the problem to determine the optimal time to sell an asset that its price conforms to the Black-Schole model but its drift is a discrete random variable taking one of two given values and this probability distribution behavior changes chronologically. The result of finding the optimal strategy to sell the asset is the first time asset price falling into deterministic time-dependent boundary. Moreover, the boundary is represented by an increasing and continuous monotone function satisfying a nonlinear integral equation. We also conduct to find the empirical optimization boundary and simulate the asset price process.

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P. Khanh, "Optimal Stopping Time for Holding an Asset," American Journal of Operations Research, Vol. 2 No. 4, 2012, pp. 527-535. doi: 10.4236/ajor.2012.24062.

Conflicts of Interest

The authors declare no conflicts of interest.


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