演講訊息 TALKS

The research of Longstaff (1995) paved the way for a new wave of ``how marketability affect security values" study. Longstaff (1995) adopted the pricing formula of a lookback put derived just under Black-Scholes economy. His model has been widely used to study the value of marketability of a security, and has good empirical supports. However, it is puzzled why a such simple model can work so well, especially it ignores many practical features. In this paper, we address two of them: discrete monitoring and jump risk. We provide a general framework of approximating discrete monitoring options with jump risk, by extending the Keener's approach from diffusion models to jump diffusion models. To conclude, we find that the discrete monitoring and the jump risk each has significant impacts on the model. And it has an interesting phenomenon between the two effects. This study may be of importance in explaining the Longstaff's model is still reasonably good, as well as in proving empirical researches with a better understanding of how jump risk and discrete monitoring drive discount for marketability restriction.