Εκτίμηση "δικαιωμάτων ρευστότητας": μέτρηση της, κατασκευή υποδείγματος, αποτίμηση με βάση το υπόδειγμα Black-Scholes, πιθανές εφαρμογές τους
SubjectΧρηματοοικονομικά δικαιώματα ; Παράγωγα (Χρηματοοικονομική) ; Derivative securities ; Financial risk
The primary aim of our paper is to propose a methodology for pricing what is called a “liquidity option.” Liquidity options are put options, a listed company gives to its large shareholders, by which it enables them to sell back to the company the amount of shares they possess, in case they decide to liquidate their positions. In the first place, it seems there is no need or reason for such an option to exist: the investor could as well sell the shares he owns, either in the open market -on the floor of the stock exchange, or in the “upstairs market” where block trades take place, without having second thoughts. And this should be the case with sufficient liquidity in the secondary market. The existing methods of trading may not guarantee the investor cither the immediate execution of his order or the settlement price of it, two issues to which the investor is highly sensitive. Thus, thoughts for creating a derivative that would meet this need for immediate liquidation of a large order at the spot price of the stock began to be expressed. Today, the notion of liquidity option is somewhat known to the stock markets, but peculiarities to its pricing prevent it from being used. What we are going to do in this paper is to display these peculiarities, as well as build a specific environment in which we will try to price such an option.