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政大典藏 > College of Commerce > Department of Money and Banking > Periodical Articles > Item 140.119/120955

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/120955

Title:	Option Pricing in Ornstein-Uhlenbeck Position Process: The Application in the Impact of Price Limits
Authors:	Chiang, Mi-Hsiu 陳威光 Chen, Wei-Kuang Cheng, Chi-Hung
Contributors:	金融系
Date:	2008-04
Issue Date:	2018-11-21 12:05:38 (UTC+8)
Abstract:	This research employs the Ornstein Uhlenbeck position process as an alternative underlying stochastic process for stock prices in markets where frictional elements are present. We derive a analytical formula for call option prices together with the hedging parameters in closed-form. We conduct sensitivity analysis to explore how this pricing model differs from the traditional Black-Scholes. Our numerical results suggest that, the impact of the frictional elements in the long term would actually be less significant. Our numerical results also show that when the underlying asset stock is highly volatile, the presence of frictional elements in the market would in fact amplifies the deviation in option prices between our model and that of the traditional Black-Scholes model.
Relation:	風險管理學報, Vol.9, No.2
Data Type:	article
DOI link:	http://dx.doi.org/10.30003/JRM.200707.0004
DOI:	10.30003/JRM.200707.0004
Appears in Collections:	[Department of Money and Banking] Periodical Articles

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