Liquidity Risk in Option Pricing --- Evidence from Taiwan Stock Index Options
碩士 === 長庚大學 === 企業管理研究所 === 93 === Abstract The purpose of this study is to analyze the pricing option after taking liquidity risk for consideration, and compare with Black-Scholes (1973) model to see if the revised prices are better. Based on Black-Scholes model, the liquidity of underly...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/97924320432209697516 |