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Selling a stock at the ultimate maximum
Geometric Brownian motion optimal prediction optimal stopping ultimate maximum parabolic free-boundary problem smooth fit
2010/11/2
Assuming that the stock price Z = (Zt)0≤t≤T follows a geometric Brownian motion with drift μ 2 R and volatility > 0, and letting Mt = max0≤s≤t Zs for t 2 [0,T].