论文信息 - Buy Low and Sell High

Buy Low and Sell High

In trading stocks investors naturally aspire to “buy low and sell high (BLSH)”. This paper formalizes the notion of BLSH by formulating stock buying/selling in terms of four optimal stopping problems involving the global maximum and minimum of the stock prices over a given investment horizon. Assuming that the stock price process follows a geometric Brownian motion, all the four problems are solved and buying/selling strategies completely characterized via a free-boundary PDE approach.

Hanqing Jin | Xun Yu Zhou | Min Dai | Yifei Zhong

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