The Effects of Transaction Costs and Different Borrowing and Lending Rates on the Option Pricing Model: A Note
修改了Black-Scholes期权定价模型，纳入交易成本和不同借贷利率的影响，发现这些市场不完美会相互抵消，产生期权价格的有界范围，并指出在某些条件下期权定价对冲可能是社会成本最低的金融中介。
ABSTRACT This paper modifies the Black‐Scholes option pricing model to include the effects of transaction costs and different borrowing and lending rates. The paper demonstrates that these market imperfections tend to offset each other yielding a bounded range of prices for each option. The paper also shows that under some conditions the option pricing hedge may be society's lowest cost financial intermediary.