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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/153752

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/153752

Title:	Jump risk and option liquidity in an incomplete market
Authors:	謝沛霖 Hsieh, Pei-Lin;Zhang, QinQin;Wang, Yajun
Contributors:	財管系
Keywords:	bid–ask spread;implied volatility;jump;options
Date:	2018-11
Issue Date:	2024-09-11
Abstract:	This study investigates the effect of a jump risk on options’ bid–ask implied volatility (IMV) spreads. We introduce theoretical models assuming market makers encounter a Bernoulli-type jump atnd optimize the mean-variance utility by choosing the optimal hedging delta and price. We find, at a low jump arrival rate, the Black–Scholes–Merton dynamic hedging for diffusion volatility outperforms static hedging for both diffusion and jump risks. If dynamic hedging is implemented, the jump components nonlinearly affect bid–ask spreads. Our regression supports our theoretical conclusions, and for model-free IMV, jump risk factors are characterized by t statistics above 7 with adjusted urn:x-wiley:02707314:media:fut21934:fut21934-math-0001 above 70%.
Relation:	Journal of Futures Markets, Vol.38, No.11, pp.1334-1369
Data Type:	article
DOI 連結:	https://doi.org/10.1002/fut.21934
DOI:	10.1002/fut.21934
Appears in Collections:	[財務管理學系] 期刊論文

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