Options Arbitrage in Imperfect Markets
模拟了市场摩擦（如波动率不确定、交易成本、不可分割性和离散再平衡）对标准期权套利策略的影响，发现实际市场中套利只能给出很宽的价格边界，对期权定价和模型检验有重要启示。
ABSTRACT Option valuation models are based on an arbitrage strategy—hedging the option against the underlying asset and rebalancing continuously until expiration—that is only possible in a frictionless market. This paper simulates the impact of market imperfections and other problems with the “standard” arbitrage trade, including uncertain volatility, transactions costs, indivisibilities, and rebalancing only at discrete intervals. We find that, in an actual market such as that for stock index options, the standard arbitrage is exposed to such large risk and transactions costs that it can only establish very wide bounds on equilibrium options prices. This has important implications for price determination in options markets, as well as for testing of valuation models.