  Using a bondholder who seeks to determine when to sell his bond as our
motivating example, we revisit one of Larry Shepp's classical theorems on
optimal stopping. We offer a novel proof of Theorem 1 from from \cite{Shepp}.
Our approach is that of guessing the optimal control function and proving its
optimality with martingales. Without martingale theory one could hardly prove
our guess to be correct.
