Pricing Options With Price Limits and Market Illiquidity

Chuang Chang Chang, Huimin Chung, Tin I. Wang

研究成果: 書貢獻/報告類型篇章同行評審

1 引文 斯高帕斯(Scopus)

摘要

The effects of price limits and market illiquidity are crucial for pricing derivatives based on some underlying assets traded in the markets with a price limit rule and an illiquidity phenomenon. We develop models to value options for the cases of either the underlying assets encountering price limits and market illiquidity, or when the underlying assets are imposed with price limits and the options themselves show market illiquidity in this paper. The Black-Scholes (1973) model, the Krakovsky (1999) model, and the Ban, Choi, and Ku (2000) model are presented as special cases of our model. Our numerical results show that both the price limit and market illiquidity significantly affect the option values.

原文???core.languages.en_GB???
主出版物標題Research in Finance
發行者JAI Press
頁面187-214
頁數28
ISBN(列印)0762312777, 9780762312771
DOIs
出版狀態已出版 - 2005

出版系列

名字Research in Finance
22
ISSN(列印)0196-3821

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