Abstract
Assuming that the stock price Z=(Zt)0≤t≤T follows a geometric Brownian motion with drift μ∈ℝ and volatility σ>0, and letting Mt=max 0≤s≤tZs for t∈[0, T], we consider the optimal prediction problems
Citation
Jacques du Toit. Goran Peskir. "Selling a stock at the ultimate maximum." Ann. Appl. Probab. 19 (3) 983 - 1014, June 2009. https://doi.org/10.1214/08-AAP566
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