Two Rationales Behind the ‘Buy-And-Hold or Sell-At-Once’ Strategy

DOI10.1239/jap/1253279844zbMath1186.60039OpenAlexW1964017351MaRDI QIDQ3182424

Wei Zhou, Sheung Chi Phillip Yam, Siu Pang Yung

Publication date: 8 October 2009

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1253279844

zbMATH Keywords

optimal stoppingmartingalessecretary problembinomial tree modelCRR model\(p\)-random walk

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Related Items (4)

Predicting the Supremum: Optimality of ‘Stop at Once or Not at All’ ⋮ Markov risk mappings and risk-sensitive optimal prediction ⋮ Optimal selling time in stock market over a finite time horizon ⋮ A General ‘Bang-Bang’ Principle for Predicting the Maximum of a Random Walk

Cites Work

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• Optimal selling time in stock market over a finite time horizon
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• Optimal stopping rules for correlated random walks with a discount
• Exercise Regions And Efficient Valuation Of American Lookback Options
• Option pricing: A simplified approach
• Optimal Buy/Sell Rules for Correlated Random Walks
• Dynamic Programming and Decision Theory

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