The Effects of Market Frictions on Option Prices

经典的期权定价理论假设资产在无摩擦的市场上交易。然而，在现实中，不同的市场摩擦盛行，例如，资产流动性不足和对某些市场参与者群体的融资限制。正如2008年和2009年全球金融危机期间所观察到的那样，这种市场摩擦可能是巨大的，并可能对期权价格产生重要影响。这个项目的目标是了解市场摩擦如何影响期权价格和期权回报。这种调查的一个主要挑战是，价格效应的方向取决于终端用户对期权的净需求。如果需求是积极的，即终端用户想要购买期权，市场摩擦应该会导致更高的价格，而负需求应该会导致更低的价格。不幸的是，关于终端用户需求的数据，特别是关于个股期权的数据，很少得到。因此，该项目的一个基本想法是开发并实证检验关于市场摩擦和期权价格之间关系的假设，这些假设在第一步不需要任何终端用户需求的知识。这一步骤利用了这样一种观点，即摩擦应该会增加期权价格围绕适当参考值的变化。如果假设得到美国股票期权市场的实证检验的支持，我们可以通过第二步从期权价格和参考值之间的差异得出关于最终用户需求的结论。该项目关于市场摩擦和期权价格之间的联系的主要问题从科学和社会政治角度都是相关的。面对有关衍生品市场的有争议的辩论，更好地了解这些市场的运作，对于有关设计公司风险管理战略以及设计和监管期权市场的政策建议非常重要。通过研究不同的市场摩擦(流动性不足、市场不完全、资金限制)，并调查它们在不同市场时期对价格形成的相对重要性，该项目在这方面做出了重要贡献。

Classic option-pricing theory assumes that assets are traded on frictionless markets. In reality, however, different market frictions prevail, for example, asset illiquidity and funding restrictions for certain groups of market participants. Such market frictions can be substantial, as was observed during the global financial crisis of 2008 and 2009, and can have an important impact on option prices. The goal of this project is to understand how market frictions affect option prices and option returns. A major challenge for such an investigation is that the direction of price effects depends on net end-user demand for options. If the demand is positive, i.e., end-users want to buy options, market frictions should lead to higher prices, whereas a negative demand should lead to lower prices. Unfortunately, data on end-user demand, in particular for options on individual stocks, is rarely available. Therefore, an essential idea of the project is to develop and empirically test hypotheses about the relation between market frictions and option prices which don't require any knowledge of end-user demand in a first step. This step exploits the idea that frictions should increase the variation of option prices around an appropriate reference value. If the hypotheses are supported by empirical tests for the US stock options market, we can draw conclusions about end-user demand from the difference between option prices and reference values in a second step.The project's main question about the connection between market frictions and option prices is relevant both from a scientific and socio-political perspective. In face of the controversial debate about derivatives markets a better understanding of the functioning of these markets is very important for policy recommendations concerning the design of corporate risk management strategies as well as the design and regulation of options markets. By looking at different market frictions (illiquidity, incompleteness of markets, funding restrictions) and investigating their relative importance for price formation in different market periods the project makes an important contribution in this respect.