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題名 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作者 李欣禧
Li, Xin-Xi貢獻者 廖四郎
Liao, Szu-Lang
李欣禧
Li, Xin-Xi關鍵詞 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日期 2021 上傳時間 2-Sep-2021 16:00:53 (UTC+8) 摘要 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.參考文獻 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。 描述 碩士
國立政治大學
金融學系
108352038資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108352038 資料類型 thesis dc.contributor.advisor 廖四郎 zh_TW dc.contributor.advisor Liao, Szu-Lang en_US dc.contributor.author (Authors) 李欣禧 zh_TW dc.contributor.author (Authors) Li, Xin-Xi en_US dc.creator (作者) 李欣禧 zh_TW dc.creator (作者) Li, Xin-Xi en_US dc.date (日期) 2021 en_US dc.date.accessioned 2-Sep-2021 16:00:53 (UTC+8) - dc.date.available 2-Sep-2021 16:00:53 (UTC+8) - dc.date.issued (上傳時間) 2-Sep-2021 16:00:53 (UTC+8) - dc.identifier (Other Identifiers) G0108352038 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/136855 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 108352038 zh_TW dc.description.abstract (摘要) 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。 zh_TW dc.description.abstract (摘要) 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. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景與意義 1第二節 研究目的 3第三節 研究內容與框架 4第二章 文獻回顧 6第三章 選擇權合約與選擇權定價模型概述 10第一節 上証50ETF選擇權和滬深300ETF選擇權概況 10一、上証50ETF選擇權概況 10二、滬深300ETF選擇權概況 13第二節 選擇權定價模型 20一、Black-Scholes選擇權定價模型 20二、流動性調整後的選擇權定價模型 22第四章 研究方法 30第五章 實證分析 34第一節 數據描述 34第二節 參數估計 35第三節 定價結果與誤差分析 38一、參數估計結果 38二、定價結果 40三、誤差分析 43第六章 結論與建議 51第一節 結論 51第二節 建議與未來展望 51參考文獻 53 zh_TW dc.format.extent 1855501 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108352038 en_US dc.subject (關鍵詞) 選擇權定價 zh_TW dc.subject (關鍵詞) BS模型 zh_TW dc.subject (關鍵詞) LASI模型 zh_TW dc.subject (關鍵詞) 上証50ETF選擇權 zh_TW dc.subject (關鍵詞) 滬深300ETF選擇權 zh_TW dc.subject (關鍵詞) Option pricing en_US dc.subject (關鍵詞) BS model en_US dc.subject (關鍵詞) LASI model en_US dc.subject (關鍵詞) SSE 50ETF option en_US dc.subject (關鍵詞) SSE 300ETF option en_US dc.title (題名) 基於流動性調整的隨機利率模型選擇權定價研究 zh_TW dc.title (題名) Option pricing of Liquidity-Adjusted Stochastic Interests Model en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 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。 zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202101385 en_US
