| 基于随机波动率的认购权证价值实证研究 |
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| 引用本文： | 范彩云,栾长福.基于随机波动率的认购权证价值实证研究[J].科学技术与工程,2007,7(24):6492-6495. |
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| 作者姓名： | 范彩云 栾长福 |
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| 作者单位： | 华南理工大学数学科学学院,广州,510640 |
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| 基金项目： | 国家自然科学基金项目（10771075）资助 |
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| 摘 要： | 以沪深证券交易所上市的11个认购权证为样本,利用SAS统计软件计算随机波动率,采用蒙特卡罗方法估计了权证的理论价值,与市场价格比较发现,总的来看,此方法计算的权证理论价值能较好地解释权证市场价格。
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| 关 键 词： | 认购权证 蒙特卡罗 随机波动率 |
| 文章编号： | 1671-1819(2007)24-6492-04 |
| 收稿时间： | 2007-08-29 |
| 修稿时间： | 2007年8月29日 |
Empirical Analysis on the Call Warrants Value Based on the Stochastic Volatility |
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| FAN Cai-yun,LUAN Chang-fu.Empirical Analysis on the Call Warrants Value Based on the Stochastic Volatility[J].Science Technology and Engineering,2007,7(24):6492-6495. |
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| Authors: | FAN Cai-yun LUAN Chang-fu |
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| Abstract: | The eleven warrants listed in the Shanghai and Shenzhen stock exchanges for were set for samples, based on stochastic volatility and Monte Carlo methods were applied to estimate the theoretical value of warrants,comparison to the market price was made. This method of calculating the value of Warrants can be used to explain the market prices of warrants from the overall perspective. |
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| Keywords: | call warrants Monte Carlo methods stochastic volatility |
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