【作者】 彭博；

【导师】 郑振龙；

【作者基本信息】 厦门大学 ， 金融工程， 2007， 硕士

【摘要】 本文在回顾中国股票认股权证发展历程及分析目前国内认股权证市场机制和价格特征的基础上,通过着重考虑随机波动率的定价模型,对认股权证进行了系统的定价研究。具体来说,本文在用目前常用的众多波动率模型——随机游走模型、GARCH族模型、跳跃模型及残差非正态分布模型对股票收益率数据进行拟合的基础上,利用Hong&Li(2005)非参数模型设定检验方法,比较各个模型的设定误差,寻找出模型设定误差最小的模型是含跳跃因子的GARCH族模型和残差非正态分布模型。然后,在掌握标的股票价格波动率特征的基础上,利用蒙特卡罗模拟技术对股价路径进行模拟,从而对权证进行合理定价。之后再结合我国特殊的制度背景,做出定价结果分析及敏感性分析,得出含跳跃因子的GARCH模型最适合作为我国权证的定价基准。最后,为了完善权证市场的定价机制,本文提出建立全面套利机制和发展真正期权市场等政策建议。更多还原

【Abstract】 This paper did a systematic research on the price of Chinese Warrant after the reform of stock market. Having analyzed the history and mechanism of Warrant Market in China and special view on the wholly theory of warrant pricing, and focus on the aspect of stochastic process as well, this paper used a lot of popular volatility models, such as Random Walking Model, GARCH Models, Models with Jump factors and non-normal Models to study the dynamic behavior of underlying stocks and then used Hong & Lee (2005) nonparametric specification test to compare the model specification errors of different models. Based on the result of volatility estimation, the writer used the Monte-Carlo simulations to price the warrants and compare the pricing results of different models. The pricing results showed that the Warrants in Chinese market are seriously overpriced nowadays. There is also a strong manipulation in the market. The writer studied some possible institutional reasons for such manipulation and proposed some policy suggestions in the end.更多还原