JOURNAL OF BEIJING UNIVERSITY OF AERONAUTICS AND A ›› 2005, Vol. 18 ›› Issue (3): 8-11.

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Valuation of Liquidity: An Option-theoretical Approach

LIANG Zhao-hui,ZHANG Wei   

  1. ystem Engineering Institute, Tianjin University, Tianjin 300072, Ch ina
  • Received:2004-04-09 Online:2005-09-25 Published:2010-10-20

Abstract:

This paper introduces an option-theoretical approach to value illiquidity securities discount and makes an empirical study about the close-ended fund discount by using a back-looking option to describe a simple analytical upper boundary on the cost of illiquidity.The authors expect to provide a benchmark for assessing the potential costs from non-marketability and thinly-traded market.

Key words: back-looking option, upper boundary, non-marketabi

CLC Number: