备兑权证定价方法的务实改进与实现  

Practical Improvement and Implementation of the Warrants Pricing

作　　者：祝荷君[1] 韩士专[1] 

机构地区：[1]华东交通大学经济管理学院,江西南昌330013

出　　处：《华东经济管理》2010年第12期143-145,共3页East China Economic Management

摘　　要：为使备兑权证的定价更加贴近现实,文章以t分布代替原假设标的股票收益率服从的正态分布,以随机波动率代替历史波动率,通过GARCH模型来消除金融时间序列的异方差性,并考虑交易费用、红利等因素对权证价格的影响,在此优化了传统的定价模型。然后用Monte Carlo模拟的定价思路,并利用对偶方差减少技术提高其效率,最后编辑程序在Eviews中成功运行得出权证的定价。To make warrants pricing closer to reality, in this paper , distribution replaced the original assumption that the yield of the un- derlying stock follows the log-normal probability distribution, historical volatility is replaced by stochastic volatility, GARCH model adopted to eliminate the financial time series heteroscedasticity, and take into account transaction cost which affect the price of the warrants, in this case, we optimize the traditional models. Then using Monte Carlo simulation and the variance reeducation techniques of antithetic variates to improve its efficiency, finally, editing program and run in Eviews pricing warrants successfully.

关 键 词：认股权证 GARCH(1 1) MONTE CARLO模拟 对偶方差减少技术 

分 类 号：F271[经济管理—企业管理]