Locked Up by a Lockup: Valuing Liquidity as a Real Option
将对冲基金投资者的赎回决策建模为实物期权，量化锁定期和通知期造成的流动性成本，发现两年锁定期加三个月通知期约消耗初始投资的1%，而暂停赎回时成本可超10%。
Hedge funds often impose lockups and notice periods to limit the ability of investors to withdraw capital. We model the investor's decision to withdraw capital as a real option and treat lockups and notice periods as exercise restrictions. Our methodology incorporates time‐varying probabilities of hedge fund failure and optimal early exercise. We estimate a two‐year lockup with a three‐month notice period costs approximately 1% of the initial investment for an investor with constant relative risk aversion utility and risk aversion of three. The cost of illiquidity can easily exceed 10% if the hedge fund manager can arbitrarily suspend withdrawals.