英文标题：
《Optimal Timing to Trade Along a Randomized Brownian Bridge》
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作者：
Tim Leung, Jiao Li, Xin Li
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最新提交年份：
2018
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英文摘要：
This paper studies an optimal trading problem that incorporates the trader\'s market view on the terminal asset price distribution and uninformative noise embedded in the asset price dynamics. We model the underlying asset price evolution by an exponential randomized Brownian bridge (rBb) and consider various prior distributions for the random endpoint. We solve for the optimal strategies to sell a stock, call, or put, and analyze the associated delayed liquidation premia. We solve for the optimal trading strategies numerically and compare them across different prior beliefs. Among our results, we find that disconnected continuation/exercise regions arise when the trader prescribe a two-point discrete distribution and double exponential distribution.
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中文摘要：
本文研究了一个最优交易问题，该问题结合了交易者对终端资产价格分布的市场观点和嵌入在资产价格动态中的非信息噪声。我们通过指数随机布朗桥（rBb）对基础资产价格的演化进行建模，并考虑随机端点的各种先验分布。我们求解了出售股票、看涨期权或看跌期权的最优策略，并分析了相关的延迟清算溢价。我们用数值方法求解最优交易策略，并在不同的先验信念下对其进行比较。在我们的结果中，我们发现当交易者规定两点离散分布和双指数分布时，会出现断开的延续/行使区域。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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