Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 1, 2009 erstellt
Description:
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