J. D. Toit

most citedSelling a stock at the ultimate maximum

97 citations · 169 across the 2 of their papers we have counts for

collaborators

2 papers

q-fin.PM2009★ 97 cited

Selling a stock at the ultimate maximum

Jacques du Toit, Goran Peskir

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

math.PR2007★ 72 cited

The trap of complacency in predicting the maximum

J. du Toit, G. Peskir

Given a standard Brownian motion $B^{μ} = (B_{t}^{μ})_{0 \leq t \leq T}$ with drift $μ \in R$ and letting $S_{t}^{μ} = max_{0 \leq s \leq t} B_{s}^{μ}$ for $0 \leq t \leq T$ , we consider the optimal pre…