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研究生： 王婷儀
Ten-Yi Wang
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
指導教授： 張傳章
Chuang-Chang Chang
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融學系
Department of Finance
畢業學年度： 91
語文別： 英文
論文頁數： 35
中文關鍵詞： 漲跌幅限制 、流動性 、有限差分法
外文關鍵詞： liquidity, finite difference, price limit
相關次數： 點閱：11  下載：0 
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    • 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.

    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

    26
    Reference
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    2. Ban Junhwa, Choi In Hyeong and Ku Hyejn, 2000, “Valuation of European options
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