文档介绍：基于分形市场的认股权证定价分析
叶永刚韩志广刘谦
(武汉大学经济与管理学院,湖北武汉430072)
摘要:传统的Black-Scholes期权定价模型没能考虑权证执行的“稀释效应”以及“红利分配”问题,修正的模型虽然解决了这两个问题,但仍然建立在市场有效性的假设基础之上,而分形市场中的分数布朗运动定价模型合理的解决了这些问题。本文以武钢认股权证(WISCO)为例,对认股权证的定价进行实证探索,并对权证的理论价格与实际价格以及标的证券——武钢股价的走势进行对比研究,指出了认股权证市场价格的不合理性和存在的获利机会。
关键词:认股权证;Black-Scholes模型;权证定价;分形市场
作者简介:叶永刚,武汉大学经济与管理学院金融系教授、博士生导师,研究方向:衍生工具与风险管理。韩志广、刘谦,武汉大学经济与管理学院硕士生。
Warrant Pricing Based on Fractal Market
Abstract: Traditional Black-Scholes option pricing model did not consider the "dilution effect" and " dividend distribution " in the implementation of warrants, although the modified model managed to resolve these two issues, it is still based on the efficient market hypothesis. Fractal market and the fractional Brownian motion pricing model reasonably resolve these problems. In this paper ,we take the example of warrants from WISCO, make empirical exploration on warrants pricing, analyze the theoretical price and actual price of warrants, pare them with the share prices of targeted security-WGGF, as a conclusion, we point out that the present market price of warrants are unreasonable, there exists potential for profits.
Key words: Warrants; Black-Scholes model; warrants pricing; Fractional Brownian motion
导论
认股权证的设计和投资中,它的正确定价是一个核心问题,而作为投资者,清醒认识认股权证投资中蕴含的风险是至关重要的。在1973年Black-Scholes期权定价公式提出后,认股权证的定价研究进入了一个鼎盛时期。Galai,Schneller(1978)在有效资本市场的假定下,通过单期和多期的分析框架,提出了考虑流通股稀释效应的认