| dc.contributor | 財管系 | |
| dc.creator (作者) | 謝沛霖 | |
| dc.creator (作者) | Hsieh, Pei-Lin;Zhang, QinQin;Wang, Yajun | |
| dc.date (日期) | 2018-11 | |
| dc.date.accessioned | 2024-09-11 | - |
| dc.date.available | 2024-09-11 | - |
| dc.date.issued (上傳時間) | 2024-09-11 | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/153752 | - |
| dc.description.abstract (摘要) | This study investigates the effect of a jump risk on options’ bid–ask implied volatility (IMV) spreads. We introduce theoretical models assuming market makers encounter a Bernoulli-type jump atnd optimize the mean-variance utility by choosing the optimal hedging delta and price. We find, at a low jump arrival rate, the Black–Scholes–Merton dynamic hedging for diffusion volatility outperforms static hedging for both diffusion and jump risks. If dynamic hedging is implemented, the jump components nonlinearly affect bid–ask spreads. Our regression supports our theoretical conclusions, and for model-free IMV, jump risk factors are characterized by t statistics above 7 with adjusted urn:x-wiley:02707314:media:fut21934:fut21934-math-0001 above 70%. | |
| dc.format.extent | 97 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Journal of Futures Markets, Vol.38, No.11, pp.1334-1369 | |
| dc.subject (關鍵詞) | bid–ask spread; implied volatility; jump; options | |
| dc.title (題名) | Jump risk and option liquidity in an incomplete market | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1002/fut.21934 | |
| dc.doi.uri (DOI) | https://doi.org/10.1002/fut.21934 | |
