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研究生:蔡宜穎
論文名稱:流動性風險下之選擇權評價
論文名稱(外文):Option Pricing with Liquidity Risk
指導教授:張焯然張焯然引用關係
學位類別:碩士
校院名稱:國立清華大學
系所名稱:計量財務金融學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2014
畢業學年度:103
語文別:英文
論文頁數:34
中文關鍵詞:流動性風險選擇權評價Heston 模型偏微分方程有限差分法
外文關鍵詞:liquidity riskoption pricingHeston modelPDEfinite difference methodKrakovsky
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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.
1. Introduction
1.1 Motivation
1.2 Purpose
2. Literature Review
2.1 Liquidity
2.2 Volatility and Trading Volume
2.3 Stochastic Volatility Model
2.4 Option Pricing with Liquidity Risk of Underlying Assets
3. Methodology
3.1 Liquidity of Underlying Asset
3.2 Option Pricing with Liquidity of Underlying Assets
3.3 Liquidity on Stock Price and Stochastic Volatility
3.4 Finite Difference Method
3.4.1 Structure
3.4.2 The Boundary Condition
4. Numerical Result
4.1 The First Model
4.2 The Second Model
5. Conclusion

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2. Black F. and M. Scholes (1973), The pricing of options and corporate liabilities, Journal of Political Economy, 81, page 637-654.
3. Cetin U. and R. Jarrow and P. Protter (2004), Liquidity risk and arbitrage pricing theory, Finance Stochastics, 8(3), page 311-341.
4. Cetin U. and R. Jarrow and P. Protter (2006), Pricing options in an extended black scholes economy with illiquidity: Theory and empirical evidence, Review of Financial Studies, 19(2), page 493-529.
5. Etiling C. and T. Miller (2000), The relationship between index option moneyness and relative liquidity, Journal of Futures Markets, 20(November), page 971-987.
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7. Hout In't K.J. and S. Foulon (2010), Adi finite difference schemes for option pricing in the heston model with correlation, International Journal of Numerical Analysis and Modeling, 7(2), page 303-320.
8. Hsai H.T. (2003), Liquidity and the pricing of options : evidence from taiwan index options, Tamkang University, Mater thesis.
9. Krakovsky A. (1999), Pricing liquidity into derivatives, Risk,December, pages 365-367.
10. Liu Ti (2006), How to evaluate liquidity : evidence and review, Shanghai Stock Exchange.
11. O'hara M. (1995), Market Microstructure Theory, Wiley.
12. Schwert G. W. (1989), Why does stock market volatility change over time?, Journal of Finance, 44(5), pages 1115-1153.
13. Shen Yih Wen (2004), Liquidity risk in option pricing-evidence from taiwan stock index options, Master thesis, Chang Gung University.
14. Syrkin M. (2011), Pricing derives with liquidity limitations, working paper.
15. Vassilis G (2008), Stochastic volatility and the volatility smile, Department of Mathematics, Uppsala University.
16. Wang Han Fen (2004), Dynamic volume-volatility relation, School of business and economics, University of Hong Kong, working paper.
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