Optimal time to invest when the price processes are geometric Brownian motions
Let $X_1(t)$, $\cdots$, $X_n(t)$ be $n$ geometric Brownian motions, possibly correlated. We study the optimal stopping problem: Find a stopping time $\tau^*
Volume (Year): 2 (1998)
Issue (Month): 3 ()
|Note:||received: April 1996; final version received: July 1997|
|Contact details of provider:|| Web page: http://www.springerlink.com/content/101164/|
|Order Information:||Web: http://link.springer.de/orders.htm|
When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:2:y:1998:i:3:p:295-310. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.