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对于中国这样金融市场相对而言稍欠完善和亟需发展的国家来说,金融衍生品的定价公平与否直接关系到金融市场未来的繁荣发展。Black—Scholes期权定价模型是衍生品定价的经典模型,但其内在不足性也使得理论定价与实际操作相去甚远。本文通过GARCH模型对权证定价进行修正并进行实证分析。检验结果发现,经GARCH修正后的理论价格能更好地与市场价格相契合。
For countries such as China, where the financial markets are less perfect and in urgent need of development, the fairness of the pricing of financial derivatives is directly related to the prosperous development of the financial markets in the future. Black-Scholes option pricing model is a classic model of derivatives pricing, but its inherent deficiencies also make the theoretical pricing and practice far apart. This article through the GARCH model to correct the pricing of warrants and empirical analysis. The test results show that the theoretical price modified by GARCH can better fit the market price.