跳到主要內容

簡易檢索 / 詳目顯示

回結果列表
研究生： 何奕嘉
Ho, Yi Chia
論文名稱： 市場流動性風險下或有償權之評價
Contingent Claim Valuation in the Presence of Market Illiquidity
指導教授： 江彌修
Chiang, Mi Hsiu
學位類別： 碩士
Master
系所名稱： 商學院 - 金融學系
Department of Money and Banking
論文出版年： 2015
畢業學年度： 103
語文別： 英文
論文頁數： 55
中文關鍵詞： 流動性折現因子 、選擇權評價 、選擇權避險參數 、流動性選擇權 、跳躍擴散
外文關鍵詞： Liquidity discount factor, Option pricing, Greeks, Liquidity options, Jump diffusion
相關次數： 點閱：65  下載：14 
分享至:
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報

    • 欲透過流動性調整模型來探討流動性風險對或有償權的影響，但本篇研究著重於選擇權的分析。根據Feng (2014)，流動性折現因子由市場流動性與股價對市場流動性敏感度所構成，而且此流動性之動態過程具有均數復歸的特性。根據本篇研究結果，價內選擇權和價平選擇權的評價表現比傳統Black-Scholes好，如果進一步將流動性之跳躍性質引入模型，除了價內選擇權和價平選擇權之外，價外選擇權的評價表現亦呈現大幅度的改善。於探討模型評價表現優劣之餘，本篇文章欲更進一步探究市場不流動性對選擇權避險參數的影響。

    This study uses a liquidity-adjusted pricing model to discuss the impact of the liquidity risk on Contingent Claim. However, we focus on the analysis of option. The liquidity discount factor consists of market liquidity and the sensitivity of stock prices to market illiquidity. The dynamic process of market liquidity possesses mean-reversion. Our empirical results show the liquidity model will improve pricing performance for ITM and ATM options. After incorporating diffusive jumps in liquidity, marked improvements in pricing performance for OTM options are observed. In addition, we discuss the impacts of liquidity risk on hedging parameters.

    誌謝 I
    中文摘要 II
    Abstract III
    Table of Contents IV
    List of Figures VI
    List of Tables VIII
    Chapter 1 Introduction 1
    Chapter 2 Methodology 5
    2.1 Measuring Market Illiquidity 5
    2.2 Parameter Estimation 6
    2.3 Merton Jump-Diffusion Model 6
    2.4 Heston Stochastic Volatility Model 8
    2.5 Liquidity Model 9
    2.6 Liquidity-Jump Diffusion Model 17
    Chapter 3 Theory and Empirical Analysis 20
    3.1 Characteristic of Market Liquidity 20
    3.2 Comparison of Pricing Performance Across Models 21
    3.3 Hedging Parameters 22
    3.3.1 Greeks of Comparison Between Different Pricing Models 22
    3.3.2 Effect of Liquidity and Liquidity-Jump Parameters on Greeks 25
    Chapter 4 Conclusions 28
    References 30
    Appendix 32
    Appendix I 32
    Appendix II 33
    Appendix III 34

    [1] Amihud, Y., 2002, Illiquidity and stock returns: cross-section and time-series effects, The Journal of Financial Markets 5, 31–56.
    [2] Bakstein, D., and S. Howison, 2003, Using Options on Greeks as Liquidity Protection, Mathematical Finance Group, University of Oxford, Working paper.
    [3] Brunetti, C., and A. Caldarera, 2006, Asset Prices and Asset Correlations in Illiquid Markets, Working Paper.
    [4] Cetin, H., M. Soner, N. Touzi, 2010, Option hedging for small investors under liquidity costs, Finance and Stochastics 14, 317–341.
    [5] Cetin, U., R. A. Jarrow, P. Protter, 2004, Liquidity risk and arbitrage pricing theory, Finance and Stochastics 8, 311–341.
    [6] Chou, R. K., S. L. Chung, Y. J. Hsiao, and Y. H. Wang, 2011, The Impact of Liquidity Risk on Option Prices, Journal of Futures Markets 31, 1116–1141.
    [7] Cox, J. C., J. E. Ingersoll, and S. A. Ross, 1985, A Theory of the Term Structure of Interest Rates, Econometrica 53, 385—407.
    [8] Duffie, D., J. Pan, and K. Singleton, 2000, Transform Analysis and Asset Pricing for Affine Jump-Diffusions, Econometrica 68, 1343–1376.
    [9] Eraker, B., 2004, Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices, The Journal of Finance 59, 1367–1404.
    [10] Eraker, B., M. Johannes, and N. Polson, 2003, The Impact of Jumps in Volatility and Returns, The Journal of Finance 58, 1269–1300.
    [11] Feng, S. P., M. W. Hung, and Y. H. Wang, 2014, Option pricing with stochastic liquidity risk: Theory and evidence, Journal of Financial Markets 18, 77–95.
    [12] Franzoni, F., E. Nowak, and L. Phalippou, 2012, Private Equity Performance and Liquidity Risk, The Journal of Finance 67, 2341–2373.
    [13] Hameed, A., W. Kang, and S. Viswanathan, 2010, Stock market declines and liquidity, The Journal of Finance 65, 257–293.
    [14] Heston, S. L., 1993, A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, The Review of Financial Studies 6, 327-343.
    [15] Hu, G. X., J. Pan, and J. Wang., 2013, Noise as Information for Illiquidity, The Journal of Finance 68, 2341–2382.
    [16] Kou, S. G., 2008, Jump-Diffusion Models for Asset Pricing in Financial Engineering, Handbooks in Operations Research and Management Science 15, 73–116.
    [17] Ku, H., K. Lee, and H. Zhu, 2012, Discrete time hedging with liquidity risk, Finance Research Letters 9, 135–143.
    [18] Leland, H., 1985, Option pricing and replication with transactions costs, The Journal of Finance 40, 1283—1301.
    [19] Mello, A. S., and J. E. Parsons, 2000, Hedging and liquidity, Review of Financial Studies 13, 127– 153.
    [20] Merton, R. C., 1976, Option Pricing When Underlying Stock Returns Are Discontinuous, Journal of Financial Economics 3, 125-144.
    [21] Pastor, L., and R. F. Stambaugh, 2003, Liquidity Risk and Expected Stock Returns, Journal of Political Economy 111, 642–85.
    [22] Rouah, F. D., 2013, The Heston Model and Its Extensions in Matlab and C#, Wiley & Sons, Inc., Hoboken, New Jersey.
    [23] Zhu, J., 209, Applications of Fourier Transform to Smile Modeling: Theory and Implementation, Springer, New York.

    QR CODE
    :::