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1、J.R.BirgeandV.Linetsky(Eds.),HandbooksinOR&MS,Vol.15Copyright©2008ElsevierB.V.AllrightsreservedDOI:10.1016/S0927-0507(07)15013-1Chapter13OptionPricing:RealandRisk-NeutralDistributionsGeorgeM.ConstantinidesUniversityofChicagoandNBERE-mail:gmc@ChicagoGSB.eduJensCarstenJackwerthUniversityofKo
2、nstanzE-mail:Jens.Jackwerth@uni-konstanz.deStylianosPerrakisConcordiaUniversityE-mail:SPerrakis@jmsb.concordia.caAbstractThecentralpremiseoftheBlackandScholes[Black,F.,Scholes,M.(1973).Thepricingofoptionsandcorporateliabilities.JournalofPoliticalEconomy81,637659]andMerton[Merton,R.(1973).T
3、heoryofrationaloptionpricing.BellJournalofEconomicsandManagementScience4,141184]optionpricingtheoryisthatthereexistsaself-financingdynamictradingpolicyofthestockandriskfreeaccountsthatrendersthemarketdynamicallycomplete.Thisrequiresthatthemarketbecompleteandperfect.Inthisessay,weareconcerne
4、dwithcasesinwhichdynamictradingbreaksdowneitherbecausethemarketisincompleteorbecauseitisimperfectduetothepresenceoftradingcosts,orboth.Marketincompletenessrenderstherisk-neutralprobabilitymeasurenonuniqueandallowsustodeterminetheoptionpriceonlywithinarange.Recognitionoftradingcostsrequires
5、arefinementinthedefinitionandusageoftheconceptofarisk-neutralprobabilitymeasure.Underthesemarketconditions,areplicatingdynamictradingpolicydoesnotexist.Nevertheless,weareabletoimposerestrictionsonthepricingkernelandderivetestablerestrictionsonthepricesofoptions.Weillustratethetheoryinaseries
6、ofmarketsetups,beginningwiththesingleperiodmodel,thetwo-periodmodeland,finally,thegeneralmultiperiodmodel,withorwithouttransactioncosts.Wealsoreviewrelatedempiricalresultsthatdocumentwidespreadviolationsoftheserestrictions.565566G.M.Constantinides,J.C.JackwerthandS.PerrakisKeywords:Derivati
7、vepricing;Risk-neutraldistribution;Incompletemarkets;Stochasticdominancebounds;Transactioncosts;Indexoptions;Volatilitysmile1IntroductionTheNobel-winningingeniousideabehindtheclassicoptionpricingmodelofBlackandScholes(1973)andMerton(1973),hereafterBSM,isthat,i
