权证定价中基于GARCH模型族的波动率研究

传统的权证定价方法假定标的证券收益率服从对数正态分布。但现实世界中标的证券收益率却具有尖峰厚尾分布,波动率的聚集性,证券市场的"杠杆作用"等特征,因而传统定价结果可能导致偏差较大。为此,本文以随机波动率代替历史波动率的假设,消除金融时间序列的异方差性的影响;运用GARCH模型族中的3种模型(GARCH,EGARCH,GJR-GARCH)对其进行参数估计,及权证定价对比;还分别就历史与随机波动率的差别、对称型与非对称型GARCH模型的差别,以及理论与实际的差别进行了比较分析。结论得出这种差别的来源,并对此进行了探讨。

A Study of Volatility in Warrants Pricing Based on GARCH Family Models

The traditional pricing methods of warrants assume that the yield of the underlying stock follows the log-normal probability distribution.But in reality it failed to take into account the experiential phenomenon of the financial time series,such as the cluster and fat tailor phenomena of the distribution;the aggregation of volatility;the leverage effect in securities market,etc,which may lead to price variance between theory and practice.In this paper,historical volatility is replaced by stochastic volatili...