ISSN 1008-2204
CN 11-3979/C

流动性的期权定价方法

Valuation of Liquidity: An Option-theoretical Approach

  • 摘要: 通过对中国封闭式基金流动性折扣的实证研究,介绍了证券流动性折扣的期权定价方法,即用一个回望期权分析流动性成本的上限。这种方法提供了一个尺度去评估由于销售性限和 市场流动性不足而带来的潜在成本。

     

    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.

     

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