论文部分内容阅读
认股权证具有期权定价和风险规避双重功能,因此它在资本市场中起着重要的作用.在研究过程中,对认股权证的定价实证分析建立在Black-Scholes定价模型和随机模拟方法的基础上.首先假定股价的变化遵循布朗运动并采用Monte Carlo随机模拟方法预测股价的期望值,然后采用Blaek-Scholes模型进行定价.为了验证认股权证定价的精确性,随机选择十只认股权证进行实证分析.研究结果表明,认股权证的市场价格高于定价模型所得出的理论计算值,但是随着资本市场的发展,两者之间的差距越来越小.“,”The innovation of subscription warrant plays an important role in capital market because of its significant functions of Option price-detection and risk-evasion. An empirical analysis was conducted based on Black-Scholes option pricing model and stochastic simulation. The stock price was forecasted from Monte Carlo simulation through using stochastic Brownian motion as the assumption of price change. To investigate the accuracy of warrant pricing, ten warrants were randomly selected for the empirical study. The results show that the market fair value is higher than the expected price derived from the model, but it is gradually reaching a convergence to the expected value with the development of capital market. Key words; subscription warrant; Black-Scholes; stochastic simulation; volatility; asset pricing