| 基于非参数估计的权证定价方法及应用 |
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| 引用本文： | 樊鹏英,陈暮紫,蒋勇,陈敏.基于非参数估计的权证定价方法及应用[J].系统工程理论与实践,2013,33(8):1916-1925. |
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| 作者姓名： | 樊鹏英 陈暮紫 蒋勇 陈敏 |
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| 作者单位： | 1. 中国科学院 数学与系统科学研究院, 北京 100190;
2. 北京工商大学 经济学院, 北京 100048;
3. 中央财经大学 管理科学与工程学院, 北京 100081;
4. 中国科学技术大学 统计与金融系, 合肥 230026 |
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| 基金项目： | 国家自然科学基金，教育部人文社会科学研究青年基金 |
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| 摘 要： | 针对权证市场, 文中首次提出基于非参数估计的权证定价方法, 其中包括完全非参数定价方法和基于模型的非参数修正定价方法, 并将其应用于中国权证市场和香港权证市场的时间外权证价格预测. 实证结果表明: 在价值状况非单调情形下, 基于模型的非参数修正定价方法效果最好, 完全非参数定价方法次之, 半参数定价模型以及参数定价模型效果较差; 此外, 在时间外的权证价格预报方面, 基于模型的非参数修正定价准确性明显优于其他模型.
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| 关 键 词： | 权证定价 非参数估计 价值状况 时间内 时间外 |
| 收稿时间： | 2011-05-30 |
Warrants pricing based on nonparametric estimation and its application in warrants market |
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| FAN Peng-ying
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CHEN Mu-zi
,
JIANG Yong
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CHEN Min.Warrants pricing based on nonparametric estimation and its application in warrants market[J].Systems Engineering —Theory & Practice,2013,33(8):1916-1925. |
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| Authors: | FAN Peng-ying CHEN Mu-zi JIANG Yong CHEN Min |
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| Institution: | 1. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China;
2. School of Economics, Beijing Technology and Business University, Beijing 100048, China;
3. School of Management Science and Engineering, Central University of Finance and Economics, Beijing 100081, China;
4. Department of Statistic and Finance, University of Science and Technology of China, Hefei 230026, China |
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| Abstract: | This paper presents a new warrants pricing method based on nonparametric estimation with respect to China warrants market and Hong Kong warrants market, and applies it to out-of-time prediction. The result shows that model-guided nonparametric correction method outperforms direct nonparametric method, semi-parametric model and parametric model. In addition, model-guided nonparametric correction method has better performance than other models in terms of out-of-time prediction ability. |
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| Keywords: | warrants pricing nonparametric estimation moneyness in-time out-of-time |
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