【英文文献】影响期权价格的相关文献

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股票流动性，期权价格和期权收益

最近在看上交所的3小时快学期权，找来期权相关的英文文献分享给大家

Abstract

We provide evidence of a strong effect of the underlying stock’s illiquidity on
option prices by showing that the average absolute difference between historical
and implied volatility increases with stock illiquidity. This pattern translates into
significant excess returns of option trading strategies that are not explained by
common risk factors. Simulation results show, however, that our results can be
explained by the hedging costs of market makers who are net long in options on
some underlyings and net short in options on other underlyings. Our empirical
findings are robust with respect to the chosen illiquidity measure, the measure of
option expensiveness, and the return period.

摘要

通过显示历史波动率和隐含波动率之间的平均绝对差随股票流动性的增加而增加，我们提供了基础股票流动性对期权价格的强烈影响的证据。这种模式转化为期权交易策略的大量超额收益，而常见风险因素并未对此进行解释。仿真结果表明，我们的结果可以通过做市商的对冲成本来解释，这些做市商对某些底层证券持有净多头期权而对其他底层证券持有净多头期权。对于选择的非流动性度量，期权昂贵性度量和回报期，我们的经验发现是可靠的。

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