【作者】 李小波；

【导师】 钱彦敏；

【作者基本信息】 浙江大学 ， 数量经济学， 2009， 硕士

【摘要】 国内权证从无到有,从诞生的那天起就成为了市场的焦点,其价格也经历了跌宕起伏的剧烈波动,市场价格远远偏离于传统的Black-Scholes模型理论价格。本文首次对权证的定价进行了系统性的研究,以权证市场诞生三年以来40只上市的权证为样本,应用改进的BS期权定价模型和随机波动率模型,采用不同的波动率估计方法的模型来对权证进行定价,比较了各种定价模型的优劣,并对权证市场价格与模型价格的误差进行了回归分析,实证结果表明采用加权移动平均波动率的BS定价模型表现最好,其次是隐含波动率方法,采用其他估计方法的模型价格与市场价格有较大差距。非理性的投资者,不完善的市场机制以及定价模型本身的严格假设对价格误差具有重要的影响作用。因此,对于国内权证市场来说,处于新兴和转型过程的中国资本市场上,采用时间序列计算波动率的模型具有较大局限性,而采用移动平均波动率法的BS模型对权证市场价格具有较好的解释效力。更多还原

【Abstract】 From the beginning of the warrant market, it became the focus of the China capital market, of which prices have gone up and down sharply. Their market prices are far from the theory prices with Black-Scholes Model. This study has done a systematic research of China warrants’ prices. We took 40 warrants which listed on China Shanghai Security Exchanged and Shenzhen Security Exchange from 2005 to 2008 and pricing them with modified Black-Scholes model and stochastic volatility model with different volatility estimation methods. In particular, this study examines the out-of-sample performance of pricing model and compares the model price to market price. Pricing biases related to irrational investors, non-perfect market mechanism and some strict assumptions. These empirical results indicate that the EWMA model and implied volatility perform best and the reason why there are significant errors between model prices and market prices are the some factors of our China capital markets. So it is not appropriate to use time-series model to pricing warrants now, but the BS model with EWMA volatility have better performance when used for pricing China warrants.更多还原