《Discrete-time option pricing with stochastic liquidity》

此篇论文发表在2017年Journal of Banking & Finance上。作者使用多维二叉树期权定价模型来预测S＆P500买入卖出期权价格。

简介

Classical option pricing theories are usually built on the law of one price, neglecting the impact of market liquidity that may contribute to significant bid-ask spreads. Within the framework of conic finance, we develop a stochastic liquidity model, extending the discrete-time constant liquidity model of Madan (2010). With this extension, we can replicate the term and skew structures of bid-ask spreads typically observed in option markets. We show how to implement such a stochastic liquidity model within our framework using multidimensional binomial trees and we calibrate it to call and put options on the S&P 500.