LIANG Zhao-hui, ZHANG Wei. Valuation of Liquidity: An Option-theoretical Approach[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2005, 18(3): 8-11.
Citation:
LIANG Zhao-hui, ZHANG Wei. Valuation of Liquidity: An Option-theoretical Approach[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2005, 18(3): 8-11.
LIANG Zhao-hui, ZHANG Wei. Valuation of Liquidity: An Option-theoretical Approach[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2005, 18(3): 8-11.
Citation:
LIANG Zhao-hui, ZHANG Wei. Valuation of Liquidity: An Option-theoretical Approach[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2005, 18(3): 8-11.
Valuation of Liquidity: An Option-theoretical Approach
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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