政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/136855

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/136855

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113392/144379 (79%)
Visitors : 51229720 Online Users : 932

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Scope

please add "double quotation mark" for query phrases to get precise results

please goto advance search for comprehansive author search

Adv. Search

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

Goto mobile version

政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/136855

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/136855

Title:	基於流動性調整的隨機利率模型選擇權定價研究 Option pricing of Liquidity-Adjusted Stochastic Interests Model
Authors:	李欣禧 Li, Xin-Xi
Contributors:	廖四郎 Liao, Szu-Lang 李欣禧 Li, Xin-Xi
Keywords:	選擇權定價 BS模型 LASI模型上証50ETF選擇權滬深300ETF選擇權 Option pricing BS model LASI model SSE 50ETF option SSE 300ETF option
Date:	2021
Issue Date:	2021-09-02 16:00:53 (UTC+8)
Abstract:	本文在流動性調整後的選擇權定價模型（Liquidity-Adjusted BS model以下簡稱LABS模型）的基礎上，加入了Hull and White隨機利率模型，推導出基於流動性調整的隨機利率模型（以下簡稱LASI模型）的選擇權定價公式的封閉解，並用中國大陸市場中交易最活躍的兩檔場內選擇權，上証50ETF選擇權和滬深300ETF選擇權進行實證分析，與BS模型對比，通過對不同價內外程度下，兩個模型的理論價格和實際價格之間的偏離度分析，比較兩個模型的定價準確性和有效性，看看LASI模型是否比BS模型產生更小的定價誤差，判斷LASI模型是否適用於中國大陸這種選擇權交易剛起步的市場，以及上証50ETF選擇權和滬深300ETF選擇權哪個更適合使用LASI模型。通過實證分析可以得到，總的來說，在市場震盪時，LASI模型相比BS模型更加符合現實，買權的定價準確性優於賣權，且選擇權越價內，其定價結果更接近實際價格、準確度越高；然而，在市場平穩時，LASI模型定價效果並沒有BS模型好。另外在市場震盪時，不管是對買權還是賣權而言，LASI模型都是更適合給滬深300ETF選擇權進行定價的模型，但仍與實際價格有一些偏差。 In this paper, Hull and White stochastic interest rate model is added to the liquidity-adjusted option pricing model, and the closed solution of option pricing formula based on the liquidity adjusted stochastic interest rate model is derived. The empirical analysis is carried out on the two most actively traded market options in mainland China, the SSE 50ETF option and the SSE 300ETF option. Compared with the BS model, the deviation degree between the theoretical price and the actual price of the two models is analyzed under different internal and external price degrees. Then comparing the pricing accuracy and effectiveness of the two models, see whether the LASI model produces a smaller pricing error than the BS model, and judge whether the LASI model is applicable to the market where option trading has just started in Mainland China. And SSE 50ETF option and the SSE 300ETF option which is more suitable to use the LASI model. The empirical analysis shows that, in general, when the market is volatile, the LASI model is more realistic than the BS model. The pricing accuracy of the call is better than that of the put. The more the option is priced, the more accurate the pricing result is. However, in a stable market, the pricing effect of LASI model is not as good as that of BS model. In addition, when the market is volatile, LASI model is more suitable for options pricing of CSI 300ETF, whether for call or put, but there is still some deviation from the actual price.
Reference:	Bakshi, G., Cao, C., & Chen, Z. (1997), “Empirical performance of alternative option pricing models,” Journal of Finance, Vol. 52, pp. 2003-2049. Black, F., & Scholes, M. (1973), “The pricing of options and corporate liabilities,” Journal of political economy, Vol. 81, No.3, pp. 637-654. Brunetti, C., & Caldarera, A. (2006), “Asset prices and asset correlations in illiquid markets,” Working paper. Feng S.P., Hung M.W., Wang Y.H. (2014), “Option pricing with stochastic liquidity risk: Theory and evidence,” Journal of Financial Markets, Vol. 18, pp. 77-95. Feng S.P., Hung M.W., Wang Y.H. (2016), “The importance of stock liquidity on option pricing,” International Review of Economics & Finance, Vol. 43, pp. 457-467. Heston S.L. (1993), “A closed-form solution for options with stochastic volatility with applications to bond and currency options,” Review of Financial Studies, Vol. 6, No.2, pp. 327-343. Hull J, White A. (1990), “Pricing Interest-Rate-Derivative Securities,” Review of Financial Studies, Vol. 3, No.4, pp. 573-592. Krakovsky A. (1999). “Pricing liquidity into derivatives,” Risk. Liu, H., & Yong, J. (2005), “Option pricing with an illiquid underlying asset market,” Journal of Economic Dynamics and Control, Vol. 29, pp. 2125-2156. Merton R.C. (1973), “Theory of rational option pricing,” Bell Journal of Economics and Management Science, Vol. 4, No. 1, pp. 141-183. 丁一(2012)，標的資產流動性調整的期權定價研究，南京大學。史昊坤(2015)，流動性非完美條件下的期權定價模型及其實證研究，南京大學。李哲(2018)，具有流動性風險因素影響的期權定價研究，華南理工大學。
Description:	碩士國立政治大學金融學系 108352038
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0108352038
Data Type:	thesis
DOI:	10.6814/NCCU202101385
Appears in Collections:	[Department of Money and Banking] Theses

Files in This Item:

File	Description	Size	Format
203801.pdf		1812Kb	Adobe PDF2	0	View/Open

All items in 政大典藏 are protected by copyright, with all rights reserved.

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

DSpace Software Copyright © 2002-2004 MIT & Hewlett-Packard / Enhanced by NTU Library IR team Copyright © - Feedback