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| Title: | 基於流動性調整的隨機利率模型選擇權定價研究
Option pricing of Liquidity-Adjusted Stochastic Interests Model |
| Authors: | 李欣禧
Li, Xin-Xi |
| Contributors: | 廖四郎
Liao, Szu-Lang
李欣禧
Li, Xin-Xi |
| Keywords: | 選擇權定價
BS模型
LASI模型
上証50ETF選擇權
滬深300ETF選擇權
Option pricing
BS model
LASI model
SSE 50ETF option
SSE 300ETF option |
| Date: | 2021 |
| Issue Date: | 2021-09-02 16:00:53 (UTC+8) |
| Abstract: | 本文在流動性調整後的選擇權定價模型（Liquidity-Adjusted BS model以下簡稱LABS模型）的基礎上，加入了Hull and White隨機利率模型，推導出基於流動性調整的隨機利率模型（以下簡稱LASI模型）的選擇權定價公式的封閉解，並用中國大陸市場中交易最活躍的兩檔場內選擇權，上証50ETF選擇權和滬深300ETF選擇權進行實證分析，與BS模型對比，通過對不同價內外程度下，兩個模型的理論價格和實際價格之間的偏離度分析，比較兩個模型的定價準確性和有效性，看看LASI模型是否比BS模型產生更小的定價誤差，判斷LASI模型是否適用於中國大陸這種選擇權交易剛起步的市場，以及上証50ETF選擇權和滬深300ETF選擇權哪個更適合使用LASI模型。
通過實證分析可以得到，總的來說，在市場震盪時，LASI模型相比BS模型更加符合現實，買權的定價準確性優於賣權，且選擇權越價內，其定價結果更接近實際價格、準確度越高；然而，在市場平穩時，LASI模型定價效果並沒有BS模型好。另外在市場震盪時，不管是對買權還是賣權而言，LASI模型都是更適合給滬深300ETF選擇權進行定價的模型，但仍與實際價格有一些偏差。
In this paper, Hull and White stochastic interest rate model is added to the liquidity-adjusted option pricing model, and the closed solution of option pricing formula based on the liquidity adjusted stochastic interest rate model is derived. The empirical analysis is carried out on the two most actively traded market options in mainland China, the SSE 50ETF option and the SSE 300ETF option. Compared with the BS model, the deviation degree between the theoretical price and the actual price of the two models is analyzed under different internal and external price degrees. Then comparing the pricing accuracy and effectiveness of the two models, see whether the LASI model produces a smaller pricing error than the BS model, and judge whether the LASI model is applicable to the market where option trading has just started in Mainland China. And SSE 50ETF option and the SSE 300ETF option which is more suitable to use the LASI model.
The empirical analysis shows that, in general, when the market is volatile, the LASI model is more realistic than the BS model. The pricing accuracy of the call is better than that of the put. The more the option is priced, the more accurate the pricing result is. However, in a stable market, the pricing effect of LASI model is not as good as that of BS model. In addition, when the market is volatile, LASI model is more suitable for options pricing of CSI 300ETF, whether for call or put, but there is still some deviation from the actual price. |
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丁一(2012)，標的資產流動性調整的期權定價研究，南京大學。
史昊坤(2015)，流動性非完美條件下的期權定價模型及其實證研究，南京大學。
李哲(2018)，具有流動性風險因素影響的期權定價研究，華南理工大學。 |
| Description: | 碩士
國立政治大學
金融學系
108352038 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0108352038 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202101385 |
| Appears in Collections: | [金融學系] 學位論文
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