Financial Innovation and Pricing of Options with Rational Beliefs

本研究探討在不完全資產市場下， 異質的信念對選擇權創新與定價的影 響。傳統經濟理論都假設市場中有和不 確定狀態一樣眾多的資產存在（完全市 場），但是現實情況中經常有新的資產 被創造出來（財務創新），所以資產市 場很清楚地應是不完全的，而且財務創 新對資源配置的效率性影響深遠。本計 畫研究在不完全市場下，新的選擇權會 如何被引進，而這些創新與選擇權定價 又會如何受到合理的異質信念之影響。The purpose of this research is to study financial innovation of options when participants in the financial markets have heterogenous beliefs. The traditional models of uncertainty usually assume complete markets with as many assets as uncertain contingencies. Such a framework of analysis ignores many important phenomena and financial innovation is one of them. Since risk sharing is clearly less than complete in practice, the most recent research in finance theory has turned its focus to incomplete asset markets and financial innovation. In this research project we study how financial innovation and pricing of options are influenced by participants’ heterogenous beliefs