具有市场流动性风险的脆弱欧洲期权的估值

IF 0.7 3区工程技术 Q4 ENGINEERING, INDUSTRIAL

Probability in the Engineering and Informational Sciences Pub Date : 2022-12-27 DOI:10.1017/s026996482200050x

Yihao Pan, D. Tang, Xingchun Wang

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引用次数: 0

摘要

在本文中，我们研究了在标的股票不是完全流动的市场中脆弱欧式期权的定价问题。采用流动性贴现因子对流动性风险在市场中的影响进行建模，并采用简化模型将期权发行者的违约风险纳入模型，其中违约强度过程与流动性风险相关。通过傅里叶反变换，得到了易损期权的半封闭定价公式。最后，我们用数值方法说明了违约风险和流动性风险对期权价格的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Valuation of vulnerable European options with market liquidity risk

In this paper, we investigate the pricing of vulnerable European options in a market where the underlying stocks are not perfectly liquid. A liquidity discount factor is used to model the effect of liquidity risk in the market, and the default risk of the option issuer is incorporated into the model using a reduced-form model, where the default intensity process is correlated with the liquidity risk. We obtain a semiclosed-form pricing formula of vulnerable options through the inverse Fourier transform. Finally, we illustrate the effects of default risk and liquidity risk on option prices numerically.

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来源期刊

Probability in the Engineering and Informational Sciences 数学-工程：工业

CiteScore

2.20

自引率

18.20%

发文量

审稿时长

>12 weeks

期刊介绍： The primary focus of the journal is on stochastic modelling in the physical and engineering sciences, with particular emphasis on queueing theory, reliability theory, inventory theory, simulation, mathematical finance and probabilistic networks and graphs. Papers on analytic properties and related disciplines are also considered, as well as more general papers on applied and computational probability, if appropriate. Readers include academics working in statistics, operations research, computer science, engineering, management science and physical sciences as well as industrial practitioners engaged in telecommunications, computer science, financial engineering, operations research and management science.