並列摘要
This paper comments on the study of option pricing in imperfect markets presented by Hsu (1997). Based on an argument of incomplete arbitrage mechanism, he firstly derives a second order partial differential equation for option prices, then solves the equation and obtains a closed-form solution similar to the Black-Scholes formula. He also claims that when the market is perfect, his model converges to the Black-Scholes model. Although Hsu's derivation provides a different perspective for option pricing, there are, unfortunately, some faults on it.
延伸閱讀
- 許溪南（1997）。不完全市場下之選擇定價。中國財務學刊，4(3)，13-43。https://doi.org/10.6545/JoFS.1997.4(3).2
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