【摘要】 本文在我国权证市场快速发展的背景下,针对目前上市公司发行的权证进行系统研究,以拓展权证市场风险的测量方法。本文根据金融随机过程和蒙特卡罗模拟的方法,针对我国目前第一只到期的宝钢认股权证的理论风险价值进行实证研究,然后与模型观测期内权证的市场风险价值进行比较。结论是模型理论价值要远低于实际市场价值,偏差率达到69．5%,从而表明目前我国权证的市场风险远远超出正常水平,权证市场还有待进一步规范。同时,广大投资者也应该注意防范投资风险。更多还原

【Abstract】 The authors studied on China’s warrant issued in Shanghai market trying to look for an appropriate method for estimating market risk of warrant from existing models.This text according to the finance random process and Monte Carlo simulation,aiming at our country currently the first“bao gang”warrant for expiring of the theories risk value do a substantial evidence research.Then carry on comparison with real warrant market risk value.The conclusion is that the model theories value is low to be worth in the actual market,and error rate attains 69.5%.This explains that The market risk of warrants outrun normal level,and the warrant market still needs further norm.In the meantime,the large investor should also notice to guard against investment risk.更多还原