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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/76427
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/76427


    Title: 市場流動性風險下或有償權之評價
    Contingent Claim Valuation in the Presence of Market Illiquidity
    Authors: 何奕嘉
    Ho, Yi Chia
    Contributors: 江彌修
    Chiang, Mi Hsiu
    何奕嘉
    Ho, Yi Chia
    Keywords: 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
    Liquidity discount factor
    Option pricing
    Greeks
    Liquidity options
    Jump diffusion
    Date: 2015
    Issue Date: 2015-07-13 11:08:11 (UTC+8)
    Abstract: 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.
    Reference: [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.
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    [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.
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    Description: 碩士
    國立政治大學
    金融研究所
    102352016
    103
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0102352016
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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