Abstract
Chinese Abstract: 衍生性金融商品的基礎訂價理論，是透過假設商品的預期報酬率等於無風險利率，報酬率的隨機分布模式被稱作風險中立機率。以上被稱作「資產訂價基本定理」，它是根基於假設金融市場具有完美性、完全性、不存在套利機會而獲致的結果，最知名的應用是選擇權訂價公式，學者Merton與Scholes因此獲得1997年諾貝爾經濟學獎。遺憾的是，台灣的教科書都遺漏陳述「市場不存在套利機會」是「風險中立訂價」的必要條件，劉任昌（2016）評論此現象，也揭發東華大學財金系王詩韻（2014）持續傳遞錯誤觀念，甚至扭曲為「無風險利率也就是風險中立機率」的荒謬。劉任昌的評論，導致王詩韻向廖四郎賠償，也引發王詩韻誣告劉任昌。本文旨在說明劉任昌揭發行為的公益性與正當性，以及揭發王詩韻的偽證細節。 English Abstract: The fundamental pricing theory of derivatives is conducted under the assumption that the expected return rate of assets is equal to the risk-free rate, and its probability distribution is called the risk-neutral measure. This principle is called the Fundamental Theorem of Asset Pricing, which assumes perfect, complete and no-arbitrage markets. The most famous application of this theorem is the option-pricing formula, whose contributors, Merton and Scholes, were rewarded the Noble Economic Prize in 1997. Unfortunately, Chinese textbooks on financial derivatives in Taiwan never specify the fact that no arbitrage is a necessary condition for risk-neutral pricing. Liu (2016) criticized this phenomenon and showed how the falsehoods were lifted and amplified by Wang (2014) from Liao and Wang (2012). Wang (2014) specified that a risk-free rate is a risk-neutral probability in an attempt to escape an accusation of copyright infringement. Liu (2016) identified these falsehoods, which lead to Wang’s compensation to Liao. Consequently, Wang sought retribution by intimidating and defaming Liu. This article explains the reasons for Liu's actions and the outcomes that followed. In particular, this article details Wang’s perjury to the Investigation Bureau and the District Attorney.
Published Version
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