Selling a stock at the ultimate maximum

Jacques du Toit, Goran Peskir

Assuming that the stock price $Z=(Z_t{)}_{0\le t\le T}$ follows a geometric Brownian motion with drift $\mu \in \mathbb{R}$ and volatility $\sigma >0$, and letting $M_t=\max_{0\leq s\leq t}Z…