Henry Pang期权定价模型的实证分析

发布时间：2018-01-10 14:24

本文关键词：Henry Pang期权定价模型的实证分析　出处：《中国科学技术大学》2017年硕士论文　论文类型：学位论文

【摘要】：股票市场一直是一个高风险、高收益的场所。"合理投资、规避风险"一直是投资者的最求。自金融衍生品出现,投资者一直热衷于如何利用衍生品合理规避风险。权证——作为国内金融市场的新型交易品种,它的出现丰富了投资者的交易策略,使投资者的理财手段更加的灵活多样。权证可以规避风险,但同时其本身也是具有风险与价值的。作为一种规避风险的手段,其功能的特殊性决定了其价格研究的重要性。该论文从Henry Pang期权定价模型入手,通过比较宝钢CWB1认股权证的理论价格与实际价格的差别发现,该模型具有一定的合理性,但同时也存在缺陷。由价格偏离度发现虽然理论价格与实际价格存在一定量的偏差,但都控制在30%以内,而且随着价格的增加,偏离度有一定量的减小。
[Abstract]:The stock market has always been a high-risk, high-yield place. "rational investment, risk avoidance" has been the most sought by investors. Since the emergence of financial derivatives. Investors have been keen on how to use derivatives to avoid risks reasonably. Warrants, as a new trading variety in domestic financial markets, have enriched investors' trading strategies. Make investors' financial means more flexible and diverse. Warrants can avoid risk, but at the same time, it also has risk and value. As a means of avoiding risk. The particularity of its function determines the importance of its price research. This paper starts with Henry Pang option pricing model. By comparing the difference between the theoretical price and the actual price of Baosteel's CWB1 warrants, it is found that the model is reasonable. But at the same time there are defects. It is found that although there is a certain amount of deviation between the theoretical price and the actual price, the deviation is controlled within 30%, and with the increase of price, the deviation degree decreases to a certain extent.
【学位授予单位】：中国科学技术大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F832.51

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