文章基本信息

标题：Optimal Timing to Trade along a Randomized Brownian Bridge
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作者：Leung, Tim ; Li, Jiao ; Li, Xin 等
期刊名称：International Journal of Financial Studies
印刷版ISSN：2227-7072
出版年度：2018
卷号：6
期号：3
页码：1-23
出版社：MDPI, Open Access Journal
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.
关键词：speculative trading; Brownian bridge; optimal stopping; variational inequality