摘要
通过对中国封闭式基金流动性折扣的实证研究,介绍了证券流动性折扣的期权定价方法,即用一个回望期权分析流动性成本的上限。这种方法提供了一个尺度去评估由于销售性限制和市场流动性不足而带来的潜在成本。
This paper introduces an option-theoretical approach to value illiquidity securities discount and makes an empirical study about the close-ended fund discount by using a back-looking option to describe a simple analytical upper boundary on the cost of illiquidity.The authors expect to provide a benchmark for assessing the potential costs from non-marketability and thinly-traded market.
出处
《北京航空航天大学学报（社会科学版）》
2005年第3期8-11,共4页
Journal of Beijing University of Aeronautics and Astronautics：Social Sciences edition Edition
关键词
回望期权
上限
销售性限制
流动性不足
back-looking option
upper boundary
non-marketability
thinly-traded
