The impact of liquidity on option prices

Robin K. Chou, San Lin Chung, Yu Jen Hsiao, Yaw Huei Wang

研究成果: 雜誌貢獻文章同行評審

16 引文 斯高帕斯(Scopus)

摘要

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.

原文英語
頁(從 - 到)1116-1141
頁數26
期刊Journal of Futures Markets
31
發行號12
DOIs
出版狀態已發佈 - 十二月 1 2011
對外發佈

ASJC Scopus subject areas

  • 會計
  • 商業、管理和會計 (全部)
  • 金融
  • 經濟學與計量經濟學

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