考慮流動性風險的障礙選擇權的評價

Barrier Option Pricing with Stochastic Liquidity Risk

夏良杰(Liang-Chieh Hsia)

指導教授 ： 郭家豪 ； 張龍福

國立交通大學/管理學院/財務金融研究所/碩士(2017年)

摘要

一般的Black-Scholes模型是假設標的物是完全流動的，而事實上非如此；因此Feng, Hung & Wang (2013)在評價歐式選擇權時加入流動性折現因子，而我延伸他們的想法，評價觸碰生效障礙選擇權時加入流動性折現因子。這篇論文主要研究加入流動性因子的觸碰生效障礙選擇權的評價，我使用靜態複製法去評價障礙選擇權，再使用Repeated Richardson Extrapolation和誤差分析改進選擇權計算的效率和結果的準確性，最後再使用敏感性分析發現障礙選擇權的價值和均值迴歸的速度成正比，和市場流動性的波動度、市場流動性的平均水準、市場流動性成反比。

關鍵字

流動性風險 ； 障礙選擇權

並列摘要

The general Black-Scholes model assumes that the stock is prefect liquidity, and in fact is not the case; Feng, Hung & Wang (2013) adds liquidity discount factors when price European options, and I extend their minds, price the barrier option to join the liquidity discount factor. This paper focuses on the price of the barrier option to access the liquidity factor of the liquidity factor, and I use the static hedging method to price the barrier option. And then use the Repeated Richardson Extrapolation and error analysis to improve the efficiency of the selection and the accuracy of the results, and finally use the sensitivity analysis found that the value of the barrier option and the speed of mean-reversion is proportional, and the volatility of market liquidity, the long-run mean, the market liquidity is inversely proportional.

並列關鍵字

Liquidity risk ； Barrier option

參考文獻

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5.Heston, S. L. (1993). A closed-form solution for options with stochastic volatility with application to bound and currency option. The Review of Financial Studies