Discrete time hedging with liquidity risk

被引：6

作者：

Ku, Hyejin ^{[2
]}

Lee, Kiseop ^{[1
,3
]}

Zhu, Huaiping ^{[2
]}

机构：

[1] Univ Louisville, Dept Math, Louisville, KY 40292 USA

[2] York Univ, Dept Math & Stat, Toronto, ON M3J 1P3, Canada

[3] Ajou Univ, Grad Dept Financial Engn, Suwon 441749, South Korea

来源：

FINANCE RESEARCH LETTERS | 2012年 / 9卷 / 03期

基金：

加拿大自然科学与工程研究理事会; 新加坡国家研究基金会;

关键词：

Discrete time; Liquidity cost; Delta hedging; MARKET MANIPULATION; OPTIONS;

D O I：

10.1016/j.frl.2012.02.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study a discrete time hedging and pricing problem in a market with liquidity costs. Using Leland's discrete time replication scheme [Leland, HE., 1985. Journal of Finance, 1283-1301], we consider a discrete time version of the Black-Scholes model and a delta hedging strategy. We derive a partial differential equation for the option price in the presence of liquidity costs and develop a modified option hedging strategy which depends on the size of the parameter for liquidity risk. We also discuss an analytic method of solving the pricing equation using a series solution. (C) 2012 Elsevier Inc. All rights reserved.

引用

页码：135 / 143

页数：9

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