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.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0102352016 |
| Creators | 何奕嘉, Ho, Yi Chia |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 英文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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