| 基于GARCH扩散模型的权证定价 |
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| 引用本文： | 吴鑫育,周海林,汪寿阳,马超群.基于GARCH扩散模型的权证定价[J].系统工程理论与实践,2012,32(3):449-457. |
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| 作者姓名： | 吴鑫育 周海林 汪寿阳 马超群 |
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| 作者单位： | 1. 湖南大学 工商管理学院, 长沙 410082;2. 安徽财经大学 金融学院, 蚌埠 233030;3. 中国科学院 数学与系统科学研究院, 北京 100190 |
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| 基金项目： | 国家自然科学基金青年科学基金(71101001);国家杰出青年基金(70825006);教育部“长江学者和创新团队发展计划”(IRT0916) |
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| 摘 要： | 考虑了标的资产服从GARCH扩散模型下的权证定价问题. 首先,基于有效重要性抽样(EIS)技巧,给出了GARCH扩散模型的极大似然(ML)估计方法; 然后,以上证和深证综合指数数据为例, 利用EIS-ML方法估计了GARCH扩散模型,表明了EIS-ML估计方法的有效性; 最后,给出了基于恒生指数权证的实证研究. 结果表明:GARCH扩散权证定价模型比经典的Black-Scholes(B-S)模型具有更高的定价精确性.
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| 关 键 词： | 权证定价 GARCH扩散模型 有效重要性抽样 极大似然 |
| 收稿时间： | 2011-01-12 |
Warrant pricing based on GARCH diffusion model |
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| WU Xin-yu
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ZHOU Hai-lin
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WANG Shou-yang
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MA Chao-qun.Warrant pricing based on GARCH diffusion model[J].Systems Engineering —Theory & Practice,2012,32(3):449-457. |
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| Authors: | WU Xin-yu ZHOU Hai-lin WANG Shou-yang MA Chao-qun |
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| Institution: | 1. School of Business Administration, Hunan University, Changsha 410082, China;2. School of Finance, Anhui University of Finance and Economics, Bengbu 233030, China;3. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China |
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| Abstract: | In this paper,we consider the issue of warrant pricing when the underlying asset follows the GARCH diffusion model.Firstly,we develop a method for maximum likelihood(ML) estimation of the GARCH diffusion model based on the efficient importance sampling(EIS) technique.Then,taking SSE and SZSE composite indices in Chinese stock market as an example,we apply the EIS-ML method to estimate the parameters of the GARCH diffusion model,and we find that the EIS-ML method is efficient. Finally,an empirical study of Hang Seng Index warrants is presented.Empirical results show that the GARCH diffusion warrant pricing model is more accurate than the classical Black-Scholes(B-S) model. |
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| Keywords: | warrant pricing GARCH diffusion model efficient importance sampling maximum likelihood |
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