Title: 價格限制市場之選擇權定價模型與避險策略分析
Option Pricing and Hedging with Daily Price Limits and Illiquidity
Authors: 郭家豪
Guo Jia Hau
Keywords: 選擇權定價;避險策略;價格限制;漲跌停頻率;Option Pricing;Hedging Strategy;Price Limit;Hitting Frequency
Issue Date: 2011
Abstract: 價格限制是許多金融市場常見的人為市場穩定措施,但是卻少有文獻或研究探討價格限 制對個股選擇權定價及避險策略的影響。本研究將聚焦於在價格限制市場中具流動性風 險的個股選擇權相關定價與避險問題的探討。藉由所求之封閉解提供的效率性,本研究 將在價格限制與有限流動性的考量下,比較數種標準避險策略如delta、 delta-gamma、 delta-vega 和delta-gamma-vega 等於歐式選擇權避險績效的差異,藉此衡量價格限制與 有限流動性對避險策略之影響。另外,藉由市場資料調校後的個股流動性模型參數之時 間數列,將有助於了解信貸危機發生時市場流動性的變化為何。
Many financial asset markets have daily price limits on individual stocks but little is known about how these price limits affect option pricing and market participants’ hedging behavior. This research will focus on the pricing and hedging of individual stock options with daily price limits and illiquidity. With the aid of efficient closed-form solutions, this research will provide empirical hedging performance of standard delta, delta-gamma, delta-vega, and delta-gamma-vega hedging of vanilla options with the aim of assessing the price-limit effect and the illiquidity effect on option hedging strategies. In addition, the calibrated local liquidity parameter may reveal what happened with the market liquidity during the banking crisis.
Gov't Doc #: NSC100-2410-H009-026-MY3
URI: http://hdl.handle.net/11536/99327
Appears in Collections:Research Plans