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1、J.R.BirgeandV.Linetsky(Eds.),HandbooksinOR&MS,Vol.15Copyright©2008ElsevierB.V.AllrightsreservedDOI:10.1016/S0927-0507(07)15017-9Chapter17LiquidityRiskandOptionPricingTheoryRobertA.JarrowJohnsonGraduateSchoolofManagement,CornellUniversity,Ithaca,NY14853,USAE-mail:raj15@corn
2、ell.eduPhilipProtterORIE-219RhodesHall,CornellUniversity,Ithaca,NY14853-3801,USAE-mail:protter@orie.cornell.eduAbstractThispapersummarizestherecentadvancesofÇetin[Çetin,U.(2003).Defaultandliquidityriskmodeling.Ph.D.thesis,CornellUniversity],Çetinetal.[Çetin,U.,Jar-row,R.,P
3、rotter,P.(2004).Liquidityriskandarbitragepricingtheory.FinanceandStochastics8,311341],Çetinetal.[Çetin,U.,Jarrow,R.,Protter,P.,Warachka,M.(2006).PricingoptionsinanextendedBlackScholeseconomywithilliquidity:The-oryandempiricalevidence.ReviewofFinancialStudies19(2),493529],B
4、lais[Blais,M.(2006).Liquidityanddata.Ph.D.thesis,CornellUniversity],andBlaisandProtter[Blais,M.,Protter,P.(2006).Ananalysisofthesupplycurveforliquidityriskthroughbookdata,inpreparation]ontheinclusionofliquidityriskintooptionpricingtheory.Thisresearchprovidesnewinsightsinto
5、therelevanceoftheclassicaltechniquesusedincontinuoustimefinanceforpracticalriskmanagement.1IntroductionClassicalassetpricingtheoryassumesthattradersactaspricetakers,thatis,thetheoryassumesthatinvestorstradeshavenoimpactonthepricespaidorreceived.Therelaxationofthispricetakin
6、gassumptionanditsim-pactonrealizedreturnsinassetpricingmodelsiscalledliquidityrisk.Liq-uidityriskhasbeenextensivelystudiedinthemarketmicrostructureliter-ature,butnotintheassetpricingliterature.Inthemarketmicrostructureliterature,itiswellknownthataquantityimpactonpricescanb
7、eduetoasymmetricinformationordifferentialrisktolerances(seeKyle,1985;SupportedinpartbyNSFgrantDMS-0202958andNSAgrantMDA-904-03-1-0092.727728R.A.JarrowandP.ProtterGlostenandMilgrom,1985;orGrossmanandMiller,1988inthisregard).Inanextremeform,liquidityriskhasalsobeenstudiedint
8、hemarketma-nipulationliterature(seeCvitanicandMa,1996;Jarrow,1992;andBankandBaum,2004).An
