考慮漲跌幅及流動性限制下選擇權評價

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姓名

王婷儀(Ten-Yi Wang) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

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

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摘要(中)

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。

摘要(英)

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.

關鍵字(中)

★ 漲跌幅限制
★ 流動性
★ 有限差分法

關鍵字(英)

★ liquidity
★ finite difference
★ price limit

論文目次

1. Introduction............................................................................................................1
2. The model................................................................................................................3
2.1 Geometric Broownian motion with boundary.............................................4
2.2 The adjusted Black -Scholes model with stock price limit and stock
liquidity...................................................................................................................5
2.3 A simple model for option market with liquidity and stock market with
price limit ................................................................................................................9
2.4 The adjusted Black-Scholes model with stock price limits and option
liquidity................................................................................................................. 11
3. Numerical Implementation ..................................................................................... 14
3.1. Multi-day valuation ...................................................................................... 14
3.2 Numerical implementation of the price limit model................................... 15
3.3 Numerical implementation of the adjusted Black -Scholes model with stock
price limit and stock liquidity............................................................................. 17
3.4 Numerical implementation of the adjusted Black -Scholes model with stock
price limits and option liquidity.......................................................................... 20
4. Numerical Results.................................................................................................... 23
4.1 The effect of price limit.................................................................................. 23
4.2 The effect of stock liquidity ........................................................................... 23
4.2 The effect of option liquidity......................................................................... 24
5. Conclusion................................................................................................................ 25
Reference ....................................................................................................................... 26

參考文獻

26
Reference
1. 林佑陽, 2002, “考慮價性等級流動性之認購權證評價模型’, 銘傳大學金融研究
所碩士論文.
2. Ban Junhwa, Choi In Hyeong and Ku Hyejn, 2000, “Valuation of European options
in the market with daily price limit”, Applied Mathematical Finance, 7, 61-74.
3. Krakovsky, A. “Pricing Liquidity into Derivatives”. Risk December 1999, 65-67.
4. Leland, H.E., 1985, “Option pricing and replication with transaction costs”, Journal
of Finance, 40, 1283–301.
5. Wilmott, P. and Dewynne, J. and Howison, S., 1993, “Option Pricing”, Oxford
Financial Press.
6. Chou Pin-Huang, 1997, “A Gibbs sampling approach to the estimation of linear
regression models under daily price limits”, Pacific-Basin Finance Journal, 5, 39-62.
7. Etling,C. and Miller, T.W.,Jr., 2000, “The relationship between Index option
moneyness and relative liquidity”, Journal of Futures Markets, Vol20, NO.10, 971-981.
8.Black,F., and M. Scholes., 1973,”The pricing of option and corporate liabilities.”,
Journal of Political Economy, 81, NO.3, 637-659.
9.Elyas Elyasiani, Shmuel Hauser, Beni Lauterbach, 2000,”Market Response to
liquidity improvements: Evidence from Exchange listing”, The Financial Review, 41,
1-14.
10 Feller, W.,1971,”An introduction to probability theory and its applications”, 2nd ed.,
John Wiley, New York.

指導教授

張傳章(Chuang-Chang Chang)

審核日期

2003-7-7

推文