流動性風險下之選擇權評價

Option Pricing with Liquidity Risk

蔡宜穎

指導教授 ： 張焯然

國立清華大學/科技管理學院/計量財務金融系/碩士(2014年)

摘要

The purpose in the thesis mainly discuss option pricing model with liquidity, which can be shown in the stock price and the stock's volatility. From the liquidity which affect the underlying's volatility, we firstly define the underlying's liquidity by change of underlying's volatility and derive the PDE through add liquidity into stochastic volatility process. From the liquidity which affect the underlying's price, the model has been proposed before. Thus, we combine two model to get a generalized PDE. The three aspects can explain this PDE, including loop between liquidity part and stock price, power between liquidity part and the liquidity fact, and the term which is affected by liquidity. Finally, we use the explicit finite difference to do numerical result.

關鍵字

流動性風險 ； 選擇權評價 ； Heston 模型 ； 偏微分方程 ； 有限差分法

並列摘要

無資料

並列關鍵字

liquidity risk ； option pricing ； Heston model ； PDE ； finite difference method ； Krakovsky

參考文獻

10. Liu Ti (2006), How to evaluate liquidity : evidence and review, Shanghai Stock Exchange.

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