15 citations · 25 across the 19 of their papers we have counts for
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q-fin.PM2014
Optimal Selling Time of a Stock under Capital Gains Taxes
Christoph Kühn, Budhi Arta Surya, Björn Ulbricht
We investigate the impact of capital gains taxes on optimal investment decisions in a quite simple model. Namely, we consider a risk neutral investor who owns one risky stock from…
math.OC2014
Optimal double stopping of a Brownian bridge
Erik J. Baurdoux, Nan Chen, Budhi A. Surya +1
We study optimal double stopping problems driven by a Brownian bridge. The objective is to maximize the expected spread between the payoffs achieved at the two stopping times. We s…