The Price of Options Illiquidity
利用央行发行且到期前不可交易的货币期权数据，发现非流动性期权比交易所交易期权价格低约21%，且该价差无法被套利消除。
ABSTRACT The purpose of this paper is to examine the effect of illiquidity on the value of currency options. We use a unique dataset that allows us to explore this issue in special circumstances where options are issued by a central bank and are not traded prior to maturity. The value of these options is compared to similar options traded on the exchange. We find that the nontradable options are priced about 21 percent less than the exchange‐traded options. This gap cannot be arbitraged away due to transactions costs and the risk that the exchange rate will change during the bidding process.