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权证定价: B-S vs. CEV
引用本文:吴鑫育,周海林,汪寿阳,马超群.权证定价: B-S vs. CEV[J].系统工程理论与实践,2013,33(5):1126-1134.
作者姓名:吴鑫育  周海林  汪寿阳  马超群
作者单位:1. 安徽财经大学 金融学院, 蚌埠 233030; 2. 湖南大学 工商管理学院, 长沙 410082; 3. 中国科学院 数学与系统科学研究院, 北京 100190
基金项目:国家杰出青年科学基金(70825006); 教育部"长江学者和创新团队发展计划"(IRT0916);国家自然科学基金青年科学基金(71101001, 71201013);国家自然科学基金创新研究群体科学基金(71221001)
摘    要:应用极大似然方法估计了Black-Scholes (B-S)模型和不变方差弹性(CEV)模型的参数, 进而采用2005年8月至2010年9月在沪深交易所上市的55支权证的共14822个日收盘数据为研究样本, 实证检验了B-S模型与CEV模型的定价效果. 结果表明, B-S模型与CEV模型的定价精确性并没有显著的差别, 两个模型对于中国权证定价的误差都非常大, 存在普遍严重低估的现象. 因此, 经典的B-S模型与CEV模型均不适合中国的权证市场. 最后, 结合我国特殊的交易制度背景, 对此进行了简要的分析.

关 键 词:权证定价  Black-Scholes模型  不变方差弹性模型  最小二乘蒙特卡罗方法  极大似然方法  
收稿时间:2011-02-25

Warrant pricing: B-S vs. CEV
WU Xin-yu,ZHOU Hai-lin,WANG Shou-yang,MA Chao-qun.Warrant pricing: B-S vs. CEV[J].Systems Engineering —Theory & Practice,2013,33(5):1126-1134.
Authors:WU Xin-yu  ZHOU Hai-lin  WANG Shou-yang  MA Chao-qun
Institution:1. School of Finance, Anhui University of Finance and Economics, Bengbu 233030, China; 2. School of Business Administration, Hunan University, Changsha 410082, China; 3. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China
Abstract:In this paper, we estimate the parameters of the Black-Scholes (B-S) and constant elasticity of variance (CEV) models by using the maximum likelihood method, and then we empirically examine the pricing performance of the B-S and CEV models using the 14822 daily closing prices of 55 warrants traded on the Shanghai and Shenzhen stock exchanges for the sample period from August 2005 to September 2010. Empirical results show that there are no substantial differences between the B-S and CEV models in pricing accuracy, and both the two models underprice the warrants seriously resulting in big errors in Chinese warrants pricing. Therefore, both the B-S and CEV models are not applicable in China's warrant market. Finally, we give a brief discussion on the reason of the failure of the B-S and CEV models based on the special trading mechanism in China's stock market.
Keywords:warrant pricing  Black-Scholes model  constant elasticity of variance model  least-squares Monte Carlo method  maximum likelihood method
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