考慮流動性風險的選擇權評價與保證金調整之研究

國際股市常因重大事件導致市場劇烈波動，產生相當大的流動性風險，進而影響到與股市連結的衍生性商品市場，如期貨或選擇權等。本研究乃以流動性風險為主軸，針對重大流動性風險事件對國內選擇權市場所產生的影響，進行相關議題探討。本研究先探討選擇權市場流動性風險是否可以應用適當指標產生預警效果，接著考慮股票市場流動性風險的變動狀況，計算出當天股票市場產生的流動性折扣。然後，透過流動性折扣選擇權定價理論，計算出考慮流動性風險的選擇權理論價格，便可產生符合無套利機會的選擇權定價區間。另外，本研究亦運用選擇權市場流動性風險的衡量，做為動態調整保證金水準之參考，透過極值理論的應用，本研究發現當市場面臨較劇烈流動性風險時，原先期交所規範的保證金有不足的疑慮。

關鍵字

流動性風險；選擇權評價；極值理論；保證金

並列摘要

Violent volatility often appeared in international stock market due to some major events occur. As a result, the derivatives underlying the stock market like futures or options are impacted as well. This study focuses on liquidity risk and investigates the following issues. First, we examine whether early warning indicators of liquidity risk on the option market can be developed. Then, we calculate the liquity discount applied on the stock market whenever the major liquidity risk appears on the market. Moreover, we calculate the theoretical option price with liquidity risk based on academic option pricing considering the liquidity discount. Consequently, we can generate a no-arbitrage interval about option prices. This study also uses the measured liquidity risk on the option market as a reference for adjusting the corresponding margin level dynamically. Employing the extreme value theory, this study finds the original margin standard required is inadequate when the market faces more extreme liquidity risk.