考慮漲跌幅及流動性限制下選擇權評價; Pricing option with price limit and illiquidity

NCUIR > School of Management at National Central University > Graduate Institute of Finance > Electronic Thesis & Dissertation > Item 987654321/11976

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/11976

Title:	考慮漲跌幅及流動性限制下選擇權評價;Pricing option with price limit and illiquidity
Authors:	王婷儀;Ten-Yi Wang
Contributors:	財務金融研究所
Keywords:	漲跌幅限制;流動性;有限差分法;liquidity;finite difference;price limit
Date:	2003-06-03
Issue Date:	2009-09-22 14:36:31 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	II 摘要本篇論文主要探討漲跌幅限制和流動性對選擇權價格的影響。由於過去文獻上探討兩種因素都是個別考慮，即考慮標的物有漲跌幅限制或只考慮流動性因素。所以，本篇嘗試同時考慮這兩種因素對選擇權價格的影響，並用有限差分法來模擬選擇權的價格。模擬結果顯示當標的市場有漲跌幅限制時，選擇權價格回隨著限制越多而往下修正；當標的市場有流動性限制時，選擇權價格會隨著流動性越小而上升；當選擇權市場有流動性限制時，選擇權價格會隨著流動性越小而下降。 Abstract In this paper we discuss the influence of price limits and illiquidity on option price. Since financial literatures have research the two factors separately, in other words, they only conside red price limit in underlying assets or illiquid market. Therefore, we attempt to find how the two factors influence option price in the same time, and use finite difference method to simulate option price. The result of simulation presents option price decreases as the restrictions grow when underlying market has price limits; option price increases as the liquidity reduces when underlying market has liquidity problem; option price increases as the liquidity reduces when option market has liquidity problem.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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