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    Title: The Impact of Liquidity Risk on Option Prices
    Authors: Chou, Robin K.;Chung, San-Lin;Hsiao, Yu-Jen;Wang, Yaw-Huei
    周冠男
    Contributors: 財管系
    Date: 2011-12
    Issue Date: 2015-01-08 18:05:59 (UTC+8)
    Abstract: This study illustrates the impact of both spot and option liquidity levels on option prices. Using implied volatility to measure the option price structure, our empirical results reveal that even after controlling for the systematic risk of Duan and Wei (2009), a clear link remains between option prices and liquidity; with a reduction (increase) in spot (option) liquidity, there is a corresponding increase in the level of the implied volatility curve. The former is consistent with the explanation on hedging costs provided by Cetin, Jarrow, Protter, and Warachka (2006), whereas the latter is consistent with the “illiquidity premium” hypothesis of Amihud and Mendelson (1986a). This study also shows that the slope of the implied volatility curve can be partially explained by option liquidity.
    Relation: Journal of Futures Markets, 31(12), 1116-1141
    Data Type: article
    DOI link: http://dx.doi.org/10.1002/fut.20531
    DOI: 10.1002/fut.20531
    Appears in Collections:[Department of Finance ] Periodical Articles

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