认股权证定价实证研究——以马钢CWB1为例  

Empirical Study on Pricing of Call Options——CWB1 as a case

作　　者：周密[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200052

出　　处：《科学技术与工程》2010年第1期336-340,共5页Science Technology and Engineering

摘　　要：通过分析马钢CWB1权证,应用(Black-Scholes)期权定价模型对认股权证进行实证研究。数据分析结果显示,马钢CWB1的历史交易价格与理论价格变化趋势相同,不存在无风险套利空间,但有些时点仍存在幅度较大的高估和低估现象。目前,我国权证市场的定价效率已经有所提高,但与发达资本市场相比,股改权证数量有限,供应量小,创设机制对券商要求较高,不存在卖空机制,定价效率仍需改进。By using Black-Scholes Model, CWB1 options is analyzed in order to compare its prices in theory and its actual market prices. The prices with a relative big spread are selected to see whether there is an arbitrage space. The data analysis results suggest that the trend of CWBI＇s history prices is in accordance with its prices in theory. Although there is no arbitrage space, there is still some over-valuation or under-valuation phenomena. The efficient China＇s option inarket has been improved since years ago. However,there is still some space for improvements, because the type and number of options are limited ,the creation mechanism has high requirements for security companies,and there is no short sell mechanism as well.

关 键 词：认股权证 BLACK-SCHOLES模型 定价 

分 类 号：F830.9[经济管理—金融学]