在完全市場的假設下，套利機能的完全運作被視為理所當然的原理。而Black-Scholes (1973)選擇權的定價模式（簡稱B-S模式）即利用此原理所推導出。然而在現實的資本市場不可能是完美而無摩擦的，導致無風險套利活動難以進行，因此最近財務理論的發展已出現以不完全市場(imperfect market)為概念。許溪南(1997)的「不完全市場下之選擇權定價」即以不完全市場為基礎，利用不完全套利的論點導出與B-S模式相似的歐式選擇權定價模式，並定義σp∕σ為市場不完全度。這個定義顯示衍生性商品的定價，是以避險組合觀念為推導的重要關鍵所在。
本文嘗試以直接法、共變數法、隱含法三種不同的方法來衡量市場不完全度，並加以比較。希望能(1) 藉由實際股價指數選擇權的價格來衡量選擇權與其標的商品市場間之市場不完全度。(2)比較在不同時期、不同履約價格的不完全度。
研究結果發現三種方法的估計值並不相同，但推斷以共變數法的估計結果較佳。以直接法與共變數法來解釋在不同情況下不完全度的比較結果相當一致，可見此兩種方法的確可衡量出不完全市場下進行套利的風險大小。在買權部份，遠價外、離到期日時間長、空頭時期的情況下，其市場不完全度較大；在賣權部份，遠價外、離到期日時間短時其市場不完全度較大，且賣權之不完全度略大於買權。
若能設法改進隱含法估計不完全度的正確性，即找出正確的估計參數，將可利用此方法來發現影響市場不完全度的關鍵因素，進而利用此關鍵因素來預測市場不完全度的大小，如此對研究者與投資大眾的貢獻會更大。

目 錄
第一章 緒論…………………………………………………………… 1
第一節 研究動機…………………………………………………… 1
第二節 研究目的……………………………………………………3
第三節 研究架範圍及限制………………………………………… 3
第四節 研究流程……………………………………………………3
第二章 文獻檢討………………………………………………………5
第一節 完全市場下之選擇權定價模式…………………………… 5
第二節 選擇權定價模式之實證……………………………………6
第三節 不完全市場選擇權之定價模式……………………………8
第三章 研究方法……………………………………………………12
第一節 Black-Scholes的選擇權定價模式…………………………12
第二節 不完全市場下之選擇權定價理論……………………… 14
第三節 市場不完全度的衡量………………………………………18
第四節 資料來源……………………………………………………21
第四章 實證結果與分析………………………………………………22
第一節 買權市場不完全度之估計結果……………………………22
第二節 價內與價外對買權市場不完全度的影響………………… 27
第三節 買權到期日長短對市場不完全度的影響…………………34
第四節 多頭市場與空頭市場對買權之市場不完全度的影響……37
第五節 賣權之市場不完全度………………………………………41
第五章 結論與建議……………………………………………………49
第一節 結論…………………………………………………………49
第二節 建議………………………………………………………… 50
參考文獻……………………………………………………………… 52
表 目 錄
表4-1 買權市場不完全度之估計結果……………………………… 24
表4-2 直接法與共變數法其價內與價外之不完全度的比較……… 28
表4-3 隱含法價內與價外之不完全度的比較……………………… 31
表4-4 價內與價外買權之成對t檢定結果 …………………………33
表4-5 遠期與近期買權市場之不完全度之比較…………………… 35
表4-6 遠期與近期買權之成對t檢定結果………………………… 36
表4-7 盤勢對買權之市場不完全度之影響………………………… 40
表4-8 買權與賣權之市場不完全度之比較………………………… 42
表4-9 買權與賣權之成對t檢定結果……………………………… 44
表4-10價內與價外賣權之市場不完全度的比較 ………………… 45
表4-11價內與價外賣權之成對t檢定結果………………………… 46
表4-12 賣權到期日長短之市場不完全度的比較…………………… 47
表4-13 賣權到期日長短之成對t檢定結果………………………… 48
表4-14 盤勢對賣權之市場不完全度之影響………………………… 48
圖 目 錄
圖4-1 買權市場不完全度之估計結果……………………………… 26
圖4-2 S&P 500 股價指數走勢圖…………………………………… 38
圖4-3 買權之市場不完全度與股價指數走勢圖…………………… 39

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