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Valuing tradeability in exponential Lévy models
Quantitative Finance and Economics Pub Date : 2020-01-01 , DOI: 10.3934/qfe.2020021
Ludovic Mathys ,

The present article provides a novel theoretical way to evaluate tradeability in markets of ordinary exponential Levy type. We consider non-tradeability as a particular type of market illiquidity and investigate its impact on the price of the assets. Starting from an adaption of the continuous-time optional asset replacement problem initiated by McDonald and Siegel (1986), we derive tradeability premiums and subsequently characterize them in terms of free-boundary problems. This provides a simple way to compute non-tradeability values, e.g. by means of standard numerical techniques, and, in particular, to express the price of a non-tradeable asset as a percentage of the price of a tradeable equivalent. Our approach is illustrated via numerical examples where we discuss various properties of the tradeability premiums.

中文翻译:

在指数Lévy模型中重视可交易性

本文提供了一种新颖的理论方法来评估普通指数征费类型的市场中的可交易性。我们将不可交易性视为一种特定类型的市场流动性不足,并调查其对资产价格的影响。从对麦当劳和西格尔(McDonald and Siegel,1986)提出的连续时间可选资产置换问题的适应开始,我们得出了可交易性溢价,随后根据自由边界问题对其进行了刻画。这提供了一种简单的方法来计算不可交易性值,例如通过标准数值技术,尤其是将不可交易资产的价格表示为可交易等价物的百分比。我们通过数值示例说明了我们的方法,其中我们讨论了可交易性溢价的各种属性。
更新日期:2020-01-01
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