文档介绍：低波动率溢价条件下的备兑权证定价
杨剑波朱成锦
摘要:作为对传统期权定价模型的改良,本文将不同的波动率模型导入Black Schole(1973) 模型以及Hull & White (1987) 模型,研究了在低波动率溢价条件下各种波动率模型与定价模型结合而形成的新定价模型对中资股背景的备兑权证定价的能力。根据样本所计算的结果显示,Hull & White模型与GARCH等波动率模型的结合能够较为精准的对备兑权证进行定价。此外,面对我国证券市场可能迎来的备兑权证即将发行的格局,本文还提出了加强发行商资格审批、发行后风控监管相对灵活等建议。
关键词:波动率; 备兑权证;衍生品定价
作者简介:杨剑波,金融学博士,光大证券金融衍生品部副总经理。研究方向:衍生品定价及交易。朱成锦,供职于光大证券金融衍生品部。
中图分类号: 文献标识:A
As a way to improve the traditional option pricing model, this paper introduces a variety of volatility models into the Black Schole (1973) model and Hull & White (1987) model, investigating under low volatility spread the capability of different option pricing model embedded with these volatility models. The result suggests that the Hull & White model armed by volatility models such as GARCH has the highest pricing power measured by RME. In addition, as it is highly likely that the covered warrants is introduced in the Chinese securities market in the near future, this paper also offers some proposal for the regulators, ., high entrance for the issuer and looser regulation for their risk management.
Key words: volatility; covered warrants; derivatives pricing
我国证券市场发育的阶段性特征和权证产品的相对简单性,决定了备兑权证的推出是我国资本市场进一步创新发展的客观需求。目前,各衍生品发行券商迟早要面临的一个基本问题是:在市场发育初期的高波动率溢价逐渐消失后,发行严格意义上的备兑权证时如何对其进行定价。Black 和Schole【1】在1973年提出著名的期权定价公式(以下简称BS模型)。但由于该公式的部分重要的假设,如标的股票的波动率为常数不符合市场实际状况,使其定价的精准性受到衍生品研究人员的极大批判。如Hull & Wh