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題名 市場流動性風險下或有償權之評價
Contingent Claim Valuation in the Presence of Market Illiquidity作者 何奕嘉
Ho, Yi Chia貢獻者 江彌修
Chiang, Mi Hsiu
何奕嘉
Ho, Yi Chia關鍵詞 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日期 2015 上傳時間 13-Jul-2015 11:08:11 (UTC+8) 摘要 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.參考文獻 [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.[3] Brunetti, C., and A. Caldarera, 2006, Asset Prices and Asset Correlations in Illiquid Markets, Working Paper.[4] Cetin, H., M. Soner, N. Touzi, 2010, Option hedging for small investors under liquidity costs, Finance and Stochastics 14, 317–341.[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.[12] Franzoni, F., E. Nowak, and L. Phalippou, 2012, Private Equity Performance and Liquidity Risk, The Journal of Finance 67, 2341–2373.[13] Hameed, A., W. Kang, and S. Viswanathan, 2010, Stock market declines and liquidity, The Journal of Finance 65, 257–293.[14] Heston, S. L., 1993, A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, The Review of Financial Studies 6, 327-343.[15] Hu, G. X., J. Pan, and J. Wang., 2013, Noise as Information for Illiquidity, The Journal of Finance 68, 2341–2382.[16] Kou, S. G., 2008, Jump-Diffusion Models for Asset Pricing in Financial Engineering, Handbooks in Operations Research and Management Science 15, 73–116.[17] Ku, H., K. Lee, and H. Zhu, 2012, Discrete time hedging with liquidity risk, Finance Research Letters 9, 135–143.[18] Leland, H., 1985, Option pricing and replication with transactions costs, The Journal of Finance 40, 1283—1301.[19] Mello, A. S., and J. E. Parsons, 2000, Hedging and liquidity, Review of Financial Studies 13, 127– 153.[20] Merton, R. C., 1976, Option Pricing When Underlying Stock Returns Are Discontinuous, Journal of Financial Economics 3, 125-144.[21] Pastor, L., and R. F. Stambaugh, 2003, Liquidity Risk and Expected Stock Returns, Journal of Political Economy 111, 642–85.[22] Rouah, F. D., 2013, The Heston Model and Its Extensions in Matlab and C#, Wiley & Sons, Inc., Hoboken, New Jersey.[23] Zhu, J., 209, Applications of Fourier Transform to Smile Modeling: Theory and Implementation, Springer, New York. 描述 碩士
國立政治大學
金融研究所
102352016
103資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102352016 資料類型 thesis dc.contributor.advisor 江彌修 zh_TW dc.contributor.advisor Chiang, Mi Hsiu en_US dc.contributor.author (Authors) 何奕嘉 zh_TW dc.contributor.author (Authors) Ho, Yi Chia en_US dc.creator (作者) 何奕嘉 zh_TW dc.creator (作者) Ho, Yi Chia en_US dc.date (日期) 2015 en_US dc.date.accessioned 13-Jul-2015 11:08:11 (UTC+8) - dc.date.available 13-Jul-2015 11:08:11 (UTC+8) - dc.date.issued (上傳時間) 13-Jul-2015 11:08:11 (UTC+8) - dc.identifier (Other Identifiers) G0102352016 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76427 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 102352016 zh_TW dc.description (描述) 103 zh_TW dc.description.abstract (摘要) 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。 zh_TW dc.description.abstract (摘要) 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. en_US dc.description.tableofcontents 誌謝 I中文摘要 IIAbstract IIITable of Contents IVList of Figures VIList of Tables VIIIChapter 1 Introduction 1Chapter 2 Methodology 52.1 Measuring Market Illiquidity 52.2 Parameter Estimation 62.3 Merton Jump-Diffusion Model 62.4 Heston Stochastic Volatility Model 82.5 Liquidity Model 92.6 Liquidity-Jump Diffusion Model 17Chapter 3 Theory and Empirical Analysis 203.1 Characteristic of Market Liquidity 203.2 Comparison of Pricing Performance Across Models 213.3 Hedging Parameters 223.3.1 Greeks of Comparison Between Different Pricing Models 223.3.2 Effect of Liquidity and Liquidity-Jump Parameters on Greeks 25Chapter 4 Conclusions 28References 30Appendix 32Appendix I 32Appendix II 33Appendix III 34 zh_TW dc.format.extent 3069431 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102352016 en_US dc.subject (關鍵詞) 流動性折現因子 zh_TW dc.subject (關鍵詞) 選擇權評價 zh_TW dc.subject (關鍵詞) 選擇權避險參數 zh_TW dc.subject (關鍵詞) 流動性選擇權 zh_TW dc.subject (關鍵詞) 跳躍擴散 zh_TW dc.subject (關鍵詞) Liquidity discount factor en_US dc.subject (關鍵詞) Option pricing en_US dc.subject (關鍵詞) Greeks en_US dc.subject (關鍵詞) Liquidity options en_US dc.subject (關鍵詞) Jump diffusion en_US dc.title (題名) 市場流動性風險下或有償權之評價 zh_TW dc.title (題名) Contingent Claim Valuation in the Presence of Market Illiquidity en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) [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.[3] Brunetti, C., and A. Caldarera, 2006, Asset Prices and Asset Correlations in Illiquid Markets, Working Paper.[4] Cetin, H., M. Soner, N. Touzi, 2010, Option hedging for small investors under liquidity costs, Finance and Stochastics 14, 317–341.[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.[12] Franzoni, F., E. Nowak, and L. Phalippou, 2012, Private Equity Performance and Liquidity Risk, The Journal of Finance 67, 2341–2373.[13] Hameed, A., W. Kang, and S. Viswanathan, 2010, Stock market declines and liquidity, The Journal of Finance 65, 257–293.[14] Heston, S. L., 1993, A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, The Review of Financial Studies 6, 327-343.[15] Hu, G. X., J. Pan, and J. Wang., 2013, Noise as Information for Illiquidity, The Journal of Finance 68, 2341–2382.[16] Kou, S. G., 2008, Jump-Diffusion Models for Asset Pricing in Financial Engineering, Handbooks in Operations Research and Management Science 15, 73–116.[17] Ku, H., K. Lee, and H. Zhu, 2012, Discrete time hedging with liquidity risk, Finance Research Letters 9, 135–143.[18] Leland, H., 1985, Option pricing and replication with transactions costs, The Journal of Finance 40, 1283—1301.[19] Mello, A. S., and J. E. Parsons, 2000, Hedging and liquidity, Review of Financial Studies 13, 127– 153.[20] Merton, R. C., 1976, Option Pricing When Underlying Stock Returns Are Discontinuous, Journal of Financial Economics 3, 125-144.[21] Pastor, L., and R. F. Stambaugh, 2003, Liquidity Risk and Expected Stock Returns, Journal of Political Economy 111, 642–85.[22] Rouah, F. D., 2013, The Heston Model and Its Extensions in Matlab and C#, Wiley & Sons, Inc., Hoboken, New Jersey.[23] Zhu, J., 209, Applications of Fourier Transform to Smile Modeling: Theory and Implementation, Springer, New York. zh_TW
