基于分形B-S定价模型的认购权证价格行为实证分析  

An Empirical Analysis of the Price Behavior of Call Warrants Based on the Fractal Black-Scholes Pricing Model

作　　者：赵旭[1] 

机构地区：[1]南京航空航天大学经济与管理学院,江苏南京210016

出　　处：《数理统计与管理》2008年第6期1039-1046,共8页Journal of Applied Statistics and Management

基　　金：中国博士后科学基金资助项目(20060390937);江苏省博士后科研资助计划项目(0602017C)。

摘　　要：针对证券收益率呈现"尖峰厚尾"的分布特征,在分析传统B-S权证定价模型的不足基础上,本文提出了基于分形理论的B-S权证定价模型,并利用分形B-S权证定价模型和传统B-S模型分析认购权证价格变化的行为。实证结果发现,两种模型的理论价格均低估了市场价格,且低估的程度具有显著统计性,其中以分形B-S模型评价结果最接近市场价格,评价绩效好。探讨影响分形B-S权证模型理论价格与市场价格差异的主要因素,结果发现距到期日时间的长短、价内外程度以及流动性在解释价差程度上具有统计的显著性。On the basis of this fact that the securities return rate has a fat tail distribution compared with normal distribution, the paper analyses the defect of the traditional B-S pricing model of warrants, and proposed a fractal B-S pricing model of warrants by using the fractal theory. The author attempts to employ the fractal B-S model to empirically examine the pricing behavior of the call warrants in China stock market. There exists the deviation between the market price and the fractal B-S theoretical price based on the fractal B-S model. But the differences between market prices and the fractal B-S theoretical prices are less than the differences between market prices and B-S theoretical prices. The paper find the fractal B-S model evaluation performance is very better than the B-S model in warrants pricing. As to the difference between market and model prices may be explained by time to expiration, the degree of moneyness and liquidity. These parameters are significant in statistical. In the end, some conclusions are bring forward.

关 键 词：认购权证 分形 B—S定价模型 价格行为 

分 类 号：F222[经济管理—国民经济] O212[理学—概率论与数理统计]