Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets
在不完全市场中，通过引入投资者追求高夏普比率（即“良好交易”）的弱经济约束，推导出资产价格的有用紧边界，并展示其在单期、多期和连续时间下的计算方法，最后用标普500指数期权数据验证边界的经济意义。
One often wants to value a risky payoff by reference to prices of other assets rather than by exploiting full‐fledged economic models. However, this approach breaks down if one cannot find a perfect replicating portfolio. We impose weak economic restriction to derive usefully tight bounds on asset prices in this situation. The bounds assume that investors would want to buy assets with high Sharpe ratios‐“good deals”‐as well as pure arbitrage opportunities. We show how to calculate the price bounds in one‐period, multiperiod, and continuous‐time contexts. We show that the multiperiod problem can be solved recursively as a sequence of one‐period problems. We calculate bounds in option pricing examples including infrequent trading and an option written on a nontraded event, and we use the bounds to explore the economic significance of option pricing predictions. We find that much variation in S&P 500, index option prices over time and across strike prices fits within the bounds.