中国权证市场的价格偏误及其均衡期权定价模型研究
发布时间：2019-06-04 17:45
【摘要】：本文使用Black-Scholas期权定价模型和EGARCH参数估计方法对中国权证市场的当前价格偏误情况进行了研究。结果显示,在引入创设机制后的2006年至2008年,中国权证市场的整体价格偏误程度依然较高,同时呈现出随权证市场价格下降而急剧上升的变化趋势。针对上述现象,本文通过理论推导提出了基于市场均衡条件下的期权定价模型,并以马钢CWB1认购权证为例实证检验了该模型的定价效果,最后得出忽略权证的价格泡沫、市场溢价和波动率估计误差是导致我国权证市场价格偏误较高的主要原因。
[Abstract]:In this paper, Black-Scholas option pricing model and EGARCH parameter estimation method are used to study the current price errors in China's warrants market. The results show that from 2006 to 2008, the overall price error degree of China's warrants market is still high after the introduction of the creation mechanism, and shows a sharp upward trend with the decline of the warrants market price. In view of the above phenomena, this paper puts forward the option pricing model based on the market equilibrium condition through theoretical derivation, and takes the CWB1 subscription warrants of Maanshan Iron and Steel Co., Ltd as an example to test the pricing effect of the model, and finally obtains the price bubble of the neglected warrants. The market premium and volatility estimation error are the main reasons for the high price error of warrants market in China.
【作者单位】： 武汉科技大学管理学院;
【基金】：湖北省人文社科项目(2009q022)
【分类号】：F224;F832.5
本文编号：2492887
[Abstract]:In this paper, Black-Scholas option pricing model and EGARCH parameter estimation method are used to study the current price errors in China's warrants market. The results show that from 2006 to 2008, the overall price error degree of China's warrants market is still high after the introduction of the creation mechanism, and shows a sharp upward trend with the decline of the warrants market price. In view of the above phenomena, this paper puts forward the option pricing model based on the market equilibrium condition through theoretical derivation, and takes the CWB1 subscription warrants of Maanshan Iron and Steel Co., Ltd as an example to test the pricing effect of the model, and finally obtains the price bubble of the neglected warrants. The market premium and volatility estimation error are the main reasons for the high price error of warrants market in China.
【作者单位】： 武汉科技大学管理学院;
【基金】：湖北省人文社科项目(2009q022)
【分类号】：F224;F832.5
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