| 权证定价探析:CEV模型与B-S公式 |
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| 引用本文： | 秦洪元. 权证定价探析:CEV模型与B-S公式[J]. 特区经济, 2007, 225(10): 124-125 |
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| 作者姓名： | 秦洪元 |
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| 作者单位： | 厦门大学,金融系,福建,厦门,361005 |
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| 基金项目： | 教育部人文社会科学重点研究基地项目 |
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| 摘 要： | 权证定价无论在业界和学界都是一个十分重要的问题。利用沪市2006年发行备兑认购权证的六支股票作为标的,实证分析股票价格行为。结果表明CEV(Constant Elasticity of Variance,常方差弹性)模型比对数正态假定能够更好地描述股票价格。在此基础上,利用模拟分析对权证进行了定价,并将定价结果和B-S公式进行了比较。最后给出了对策和建议。
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| 关 键 词： | CEV模型 权证 定价 |
Ticket price probing: CEV mode and B-S formula |
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| Qin Hong Yuan. Ticket price probing: CEV mode and B-S formula[J]. Special Zone Economy, 2007, 225(10): 124-125 |
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| Authors: | Qin Hong Yuan |
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| Abstract: | Warrant pricing is a very important problem both in academic filed and practical filed The behavior of common stocks' price is analyzed using six common stocks that issued derivative call warrants in Shanghai security exchange in 2006 The results indicate that CEV(Constant Elasticity of Variance) model is more effective than lognormal distribution in describing common stocks' price And based on the result,the warrants price is given under CEV model using simulation analysis In addition,the advice is presented |
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| Keywords: | CEV model Warrants Pricing |
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