基于随机模拟和Black-Scholes模型的认股权证定价研究(英文)  

Subscription Warrant Pricing Based on Stochastic Simulation and Black-Scholes Model

作　　者：柯金川[1] 王冠[1] 李娴[1] 

机构地区：[1]北京交通大学经济管理学院,北京100044

出　　处：《系统仿真学报》2009年第3期918-922,共5页Journal of System Simulation

摘　　要：认股权证具有期权定价和风险规避双重功能,因此它在资本市场中起着重要的作用。在研究过程中,对认股权证的定价实证分析建立在Black-Scholes定价模型和随机模拟方法的基础上。首先假定股价的变化遵循布朗运动并采用Monte Carlo随机模拟方法预测股价的期望值,然后采用Black-Scholes模型进行定价。为了验证认股权证定价的精确性,随机选择十只认股权证进行实证分析。研究结果表明,认股权证的市场价格高于定价模型所得出的理论计算值,但是随着资本市场的发展,两者之间的差距越来越小。The innovation of subscription warrant plays an important role in capital market because of its significant functions of Option price-detection and risk-evasion. An empirical analysts was conducted based on Black-Scholes option pricing model and stochastic＇ simulation. The stock price was forecasted from Monte Carlo simulation through using stochastic Brownian motion as the assumption of price change. To investigate the accuracy of warrant pricing, ten warrants were randomly selected for the empirical study. The results show that the market fair value is higher than the expected price derived from the model, but it is gradually reaching a convergence to the expected value with the development of capital market.

关 键 词：权证 BLACK-SCHOLES定价模型 随机模拟 波动率 资产定价 

分 类 号：F830.91[经济管理—金融学]