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    請使用永久網址來引用或連結此文件: http://ir.lib.ncu.edu.tw/handle/987654321/51723


    題名: THE IMPACT OF LIQUIDITY ON OPTION PRICES
    作者: Chou,RK;Chung,SL;Hsiao,YJ;Wang,YH
    貢獻者: 財務金融學系
    關鍵詞: INDIVIDUAL EQUITY OPTIONS;IMPLIED VOLATILITY;STOCK-RETURNS;MARKET;RISK;ILLIQUIDITY;DETERMINANTS;COMMONALITY;SPREAD;YIELDS
    日期: 2011
    上傳時間: 2012-03-27 19:03:36 (UTC+8)
    出版者: 國立中央大學
    摘要: This study illustrates the impact of both spot and option liquidity levels on option prices. Using implied volatility to measure the option price structure, our empirical results reveal that even after controlling for the systematic risk of Duan and Wei (2009), a clear link remains between option prices and liquidity; with a reduction (increase) in spot (option) liquidity, there is a corresponding increase in the level of the implied volatility curve. The former is consistent with the explanation on hedging costs provided by Cetin, Jarrow, Protter, and Warachka (2006), whereas the latter is consistent with the "illiquidity premium" hypothesis of Amihud and Mendelson (1986a). This study also shows that the slope of the implied volatility curve can be partially explained by option liquidity. (C) 2011 Wiley Periodicals, Inc. Jrl Fut Mark 31: 1116-1141, 2011
    關聯: JOURNAL OF FUTURES MARKETS
    顯示於類別:[財務金融學系] 期刊論文

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