摘要
我国权证市场是一个新兴市场,权证市场价格与理论价格长期存在较大偏离。本文以中化CWB1为例,首先运用修正的Black-Scholes公式计算权证的理论价格,证明权证价格偏误的存在主要不来源于模型设定误差,而是与标的股票价格相关。再运用计量经济学的方法讨论权证价格偏误和标的股票价格的协整关系,并建立误差修正模型以定量地描述二者之间的短期波动关系。最后从理论上分析我国权证市场的发展现状和导致价格偏误的深层次原因。
Warrants＇ market is an emerging market in our country. There is a big difference between the market price and the theoretical price of warrants in the long term. In this paper, we take CWB1 as an example. First of all, amended Black-Scholes formula is used to calculate the theoretical price of the warrant, in order to prove that the existence of the bias doesn＇t result from the model setting, but is related to the price of its underlying stock. Then we use econometric methods to discuss the co-integration relationship between the bias and the price of underlying stock and establish quantitative model to describe the relationship between them. Finally we analyze the development of our warrants market and the reasons for the bias in theory.
出处
《运筹与管理》
CSCD
北大核心
2009年第2期125-130,共6页
Operations Research and Management Science
基金
国家973项目基金资助项目(2007CB814901)
