英文标题：
《Optimal Trading with a Trailing Stop》
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作者：
Tim Leung, Hongzhong Zhang
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最新提交年份：
2019
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英文摘要：
  Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing buy and then sell an asset subject to a trailing stop. Under a general linear diffusion framework, we study an optimal double stopping problem with a random path-dependent maturity. Specifically, we first derive the optimal liquidation strategy prior to a given trailing stop, and prove the optimality of using a sell limit order in conjunction with the trailing stop. Our analytic results for the liquidation problem is then used to solve for the optimal strategy to acquire the asset and simultaneously initiate the trailing stop. The method of solution also lends itself to an efficient numerical method for computing the the optimal acquisition and liquidation regions. For illustration, we implement an example and conduct a sensitivity analysis under the exponential Ornstein-Uhlenbeck model.
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中文摘要：
尾随止损是一种流行的止损交易策略，投资者将在资产价格经历预先规定的百分比下跌后出售资产。在本文中，我们研究了有尾随止损的资产的时机选择问题。在一般线性扩散框架下，我们研究了一类具有随机路径依赖成熟度的最优双停问题。具体地说，我们首先推导了在给定尾随止损点之前的最优清算策略，并证明了将卖出限价单与尾随止损点结合使用的最优性。然后，我们对清算问题的分析结果被用于求解最优策略，以获取资产并同时启动后续停止。该解法还为计算最佳收购和清算区域提供了一种有效的数值方法。为了说明，我们实现了一个例子，并在指数Ornstein-Uhlenbeck模型下进行了敏感性分析。
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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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