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首页> 外文期刊>The North American journal of economics and finance >European quanto option pricing in presence of liquidity risk
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European quanto option pricing in presence of liquidity risk

机译：存在流动性风险的欧洲量子期权定价

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In this paper, we study the pricing problems of the European quanto options in which the underlying foreign asset is in imperfectly liquid markets. First, we assume that the dynamics of the underlying foreign asset price are affected by market liquidity and propose a liquidity-adjusted quanto model. This allows for the effects of market liquidity on European quanto option pricing. And then we derive the analytical pricing formulas for four different types of European quanto options. Finally, we empirically investigate the pricing performance of our proposed model with a European quanto construction involving the SSE 50 ETF, as the underlying asset, and the CNY/HKD exchange rate. Empirical results demonstrate that the pricing accuracy of the proposed model is markedly superior to that of the Black-Scholes quanto model. In other words, allowing for liquidity risk in the framework of European quanto option pricing can make markedly improvements in fitting the real market data. Particularly, the improvement rate is high for medium-term and out-of-the-money options. Moreover, these results are robust for different liquidity measures.
机译：在本文中，我们研究了欧洲量子期权的定价问题，其中潜在的外国资产处于不完全流动的市场中。首先，我们假设基础外国资产价格的动态受到市场流动性的影响，并提出了流动性调整后的量化模型。这允许市场流动性对欧洲量子期权定价的影响。然后，我们导出了四种不同类型的欧洲量子期权的分析定价公式。最后，我们以欧洲量化建设为基础，以SSE 50 ETF作为基础资产，以及CNY / HKD汇率，通过实证研究了我们提出的模型的定价性能。实证结果表明，所提出模型的定价准确性明显优于Black-Scholes量子模型。换句话说，在欧洲量子期权定价框架内考虑流动性风险可以显着改善拟合实际市场数据的能力。特别是，对于中期和价外的选择，改进率很高。此外，这些结果对于不同的流动性度量是可靠的。

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