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针对中国权证市场的特殊性,基于稀释效应、隐含波动率和非参数修正思想,提出适用于中国市场股本权证定价的非参数修正方法,并将其应用于时间外权证价格的预测。实证结果表明:在中国市场的权证定价和时间外权证价格预测准确性方面,基于稀释效应Ad hoc BS模型的非参数修正定价方法效果最好,相对优于不考虑稀释效应情况下的非参数修正定价方法,半参数定价模型以及参数定价模型效果较差.
Aiming at the particularity of Chinese warrant market, this paper proposes a non-parametric correction method applicable to the pricing of Chinese warrants on the basis of the dilution effect, implied volatility and non-parametric correction, and applies it to the forecast of the time warrant price. The empirical results show that the nonparametric modified pricing method based on the dilution effect Ad hoc BS model is the best in terms of the warrant pricing and the time forecasting accuracy of the time warrant in China, which is better than the nonparametric correction without considering the dilution effect Pricing method, semi-parametric pricing model and parameter pricing model are less effective.