How Much Can Marketability Affect Security Values?
用期权定价理论推导出市场流动性价值的上限，发现即使流动性受限期很短，折价也可能很大，为评估交易限制的成本提供了基准。
How marketability affects security prices is one of the most important issues in finance. We derive a simple analytical upper bound on the value of marketability using option-pricing theory. We show that discounts for lack of marketability can potentially be large even when the illiquidity period is very short. This analysis also provides a benchmark for assessing the potential costs of exchange rules and regulatory requirements restricting the ability of investors to trade when desired. Furthermore, these results provide new insights into the relation between discounts for lack of marketability and the length of the marketability restriction.