闡述資產訂價基本定理——兼評論臺灣期貨與選擇權教科書

Demonstrating the Fundamental Theorem of Asset Pricing-Through Reviewing Taiwanese Textbooks of Futures and Options

劉任昌(Jen-Chang Liu)

《科學與人文研究》 4卷1期 (2016/06) Pp. 67-94

https://doi.org/10.6535/JSH2016064103

摘要

風險中立訂價是衍生性商品理論之基石，但中文教科書皆未說明不存在套利機會隱含風險中立測度存在之事實，國內期刊也幾乎付之闕如。本研究闡述風險中立訂價理論之基礎：資產訂價基本定理。雖然，學術界具有嚴格之論文審核制度，卻無教科書之評審制度，導致大專教師在斟酌學術著作產出與教科書著作產出之成本與效益後，往往撰寫教科書，造成教科書林立，內容良莠不齊之現況。本研究作者率先起義，補充三冊知名教科書對訂價理論陳述不足之處，且評論其缺點與優點，再界定部分值得其他教科書採用，卻無著作權爭議之撰寫形式。本研究再深度評論第四本新出版之教科書，將其與既有教科書作詳細比較，得以討論知識傳播議題，並且對教科書作者提出具體建議，以避免瑕疵觀念繼續傳遞。本研究呼籲對傳統學術研究缺乏興趣之大專教師，投入教科書評論工作，且以著作或技術報告形式發表，為台灣大專教育與出版界注入革新與成長動力。

關鍵字

教科書 ； 期貨與選擇權 ； 衍生性金融商品 ； 風險中立 ； 批判教育學 ； 著作權

並列摘要

Risk-neutral valuation is the foundation of modern derivative pricing theory. However, Chinese textbooks do not clarify the fact that no-arbitrage conditions implies the existence of risk-neutral probability. Nor domestic academic papers mentioned it. This paper demonstrates the core of the risk-neutral valuation - the fundamental theorem of asset pricing. Although there has been mature reviewing tradition in academic papers, there is no similar tradition in related textbooks. As a result, some young scholars are inclined to write textbooks after scrutinizing the cost and benefits of writing writing for education. Consequently, we witness a growing tide of textbooks of mixed quality. This paper makes the first attempt to ameliorate the description of risk-neutral valuation in three famous textbooks on the subject of derivatives, as well as discussing their respective pros and cons. This paper also highlights some textbook formats and styles which facilitate learning and entail no copyright issues if we make use of them. Finally, this paper also examines a fourth new textbook and compares it with the aforementioned three. Some evidence of transmitting flawed concept in the fourth textbook is highlighted in this paper. College faculty are encouraged to point out and to review some popular textbooks in the form of academic papers or technical reports. Such effort will improve textbook quality and promote higher standards in college education.

並列關鍵字

Textbook ； Futures and options ； Derivatives ； Risk-neutral valuation ； Critical Pedagogy ； Copyright

參考文獻

劉任昌、葉馬可(2014)。論文自我抄襲之定義與性質。科學與人文研究，3(1)，35-53。

劉任昌、葉馬可(2015c)。學術論文隱匿資訊導致之負面效應。科學與人文研究，3(3)，1-29。

Black, F. and M. Scholes (1973).The Pricing of Options and Corporate Liabilities.Journal of Political Economy, 81(3), 637-654.

Campbell, Y.J., W.A. Lo and C.A. MacKinlay (1997). The Economics of Financial Markets. N. Y.: Princeton U. Press.

Duffie, D. (2001).Dynamic Asset Pricing.Princeton: Princeton U. Press.