认股权证定价的蒙特卡罗模拟方法及其改进技术  

Monte Carlo Simulation Methods and Its Improved Technique for Pricing Warrants

作　　者：马俊海[1] 王彦[1] 

机构地区：[1]浙江财经学院金融学院,浙江杭州310018

出　　处：《管理工程学报》2010年第3期75-81,共7页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(70571068)

摘　　要：认股权证在国际金融市场上一直备受关注,在我国金融市场中也得到越来越多的应用,因此对其进行合理定价显得尤其重要。本文基于认股权证的期权特征分析和标的资产价格变化的随机波动率假设,运用蒙特卡罗模拟方法及其改进技术对认股权证定价问题进行研究与探讨,建立认股权证的蒙特卡罗模拟定价模型,并在此基础上以鞍钢权证为研究样本对我国认股权证定价问题进行实证研究。研究结论认为,基于诸如对偶变量等方差减少技术的蒙特卡罗模拟改进方法是解决认股权证定价问题的一种有效途径。In International financial market, Warrants are major financial derivative products and have been getting more and more extensive attention in China. Therefore, it will be a very important subject in modern financial research to pricing warrants scientifically. In this paper, basing on basic optional characteristic and stochastic volatility assumption, we research and explore the problem of pricing warrants by using Monte Carlo simulation methods and its improved technique, and set up Monte Carlo models pricing warrants. On the basic of above analysis, we will make a practical study on pricing warrants of An Gang. The conclusion is that it will be very effective for Monte Carlo simulation basing on variance reduction techniques such as antithesis variable to pricing warrants.

关 键 词：权证定价 GARCH模型 蒙特卡罗模拟 对偶变量 控制变量 

分 类 号：F830.91[经济管理—金融学]