Nó bỏ qua chi phí giao dịch như tiền hoa hồng và lây lan giữadự thầu (mua) và đề nghị hay yêu cầu (bán) giá. Một đại lý vùng đồng bằng là những người bảo hiểm rủi ro là một lựa chọn thông thường sẽ phải chịu chi phí như vậy và điều này đã được tính vào phí bảo hiểm trả cho hợp đồng. | Managing Trading Risks on Options 159 model makes a number of simplifying assumptions that may not always be realistic in practice. Transaction costs. It ignores transaction costs such as commissions and the spreads between bid buy and offer or ask sell prices. A dealer who is delta hedging an option will normally have to suffer such costs and this has to be factored into the premium charged for the contract. The problem is acute with volatile assets in less liquid markets which can trade with very high bid offer spreads. Perfect liquidity. The model assumes that the writer of an option can continually trade the underlying asset to manage the delta risk without difficulty and without affecting the price of the underlying. Again the option premium will have to be adjusted if this is not the case. Continuous random path. Black-Scholes assumes that the price of the underlying trades continuously and moves through all levels without sudden jumps. Illiquid assets do not trade very frequently and their prices can display discontinuous movements. Constant volatility. The model assumes that the volatility of the underlying is known and constant throughout the life of an option. In fact the volatility must be forecast and volatility is not constant. In more extreme markets it can climb alarmingly. Normal distribution. The model assumes that the returns on the underlying follow a bell curve. In fact there is plenty of evidence that this is not completely accurate particularly in equity markets. The actual distribution of the returns on a share tends to exhibit what is sometimes called a fat tail . The probability of extreme movements in the stock price is greater than can be modelled on a single bell curve. We saw three or four major stock market crashes in the twentieth century depending on the definition used. If the returns on shares were normally distributed on a single bell curve these events should not come round nearly as often - perhaps some should never occur in the
