https://scholars.lib.ntu.edu.tw/handle/123456789/414903
標題: | Option pricing with stochastic liquidity risk: Theory and evidence | 作者: | Feng S.-P. Hung M.-W. Wang Y.-H. |
關鍵字: | Liquidity discount factor;Liquidity risk;Option pricing | 公開日期: | 2014 | 卷: | 18 | 期: | 1 | 起(迄)頁: | 77-95 | 來源出版物: | Journal of Financial Markets | 摘要: | This study develops a liquidity-adjusted option pricing model that demonstrates the impact of the liquidity risk on stock prices using a liquidity discount factor. The discount factor relates to both mean-reversion stochastic market liquidity and the sensitivity of stock prices to market illiquidity. Our empirical results provide strong evidence in support of incorporating liquidity risk in options pricing. In particular, our model shows marked pricing improvement for out-of-the-money or longer term options, as well as options on stocks with lower levels of liquidity. ? 2013 Elsevier B.V. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414903 | ISSN: | 13864181 | DOI: | 10.1016/j.finmar.2013.05.002 |
顯示於: | 財務金融學系 |
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