我国权证的定价模型

作为一种重要的金融产品,权证在解决我国资本市场最大遗留问题--股权分置问题上得到了应用.分析我国权证在创设制度和股改权证的特殊背景下的定价模型,通过对权证标的波动率、权证流通份额、权证理论价值与真实价值、权证创设临界价格以及权证投资/投机价值的比较,显示我国权证市场的隐含波动率水平与目前香港权证市场相比还是相当高的.随着权证数量逐步增多,市场溢价水平势将逐步下降.

Pricing Model Of Options In Chinese Securities Market

As an important finance product, warranty was widely used in solving the biggest problem in the Chinese Securities Market that all the securities of a listed company could not be traded together, which had not been settled since the beginning of the securities market. I sets up the pricing model for Chinese warranty under the condition of establishing regulations and securities reforming. It compares the warranty fluctuation rate, warranty circulating volume, warranty theory value and real value, warranty critical price, and warranty investing/venturing values, and reveals that the connotative fluctuating rate of Chinese warranty is much higher than that of Hongkong warranty. With increase of warranty number in the market, the market premium standartt will go down gradually.