基于随机贴现因子方法的权证定价研究  

Stochastic Discount Factor-Based Approach for Warrant Pricing

作　　者：吴鑫育[1] 周海林[1] 马超群[2] 汪寿阳[3] 

机构地区：[1]安徽财经大学金融学院,安徽蚌埠233030 [2]湖南大学工商管理学院,湖南长沙410082 [3]中国科学院数学与系统科学研究院,北京100190

出　　处：《中国管理科学》2012年第4期1-7,共7页Chinese Journal of Management Science

基　　金：国家杰出青年科学基金项目(70825006);教育部"长江学者和创新团队发展计划"项目(IRT0916);国家自然科学基金青年科学基金项目(71101001)

摘　　要：本文应用随机贴现因子方法,考虑了标的资产服从杠杆随机波动率(SV-L)模型下的权证定价问题。首先,基于保险精算中的Esscher变换,设定随机贴现因子为状态变量的指数仿射函数,基于该随机贴现因子能够给出不完全市场中权证唯一的理论价格;然后,假设标的资产服从SV-L模型,结合指数仿射随机贴现因子,推导出风险中性概率测度下标的资产收益的动态过程;最后,给出了基于在沪深交易所上市的认购权证的实证研究。结果表明,提出的权证定价模型的定价效果优于经典的Black-Scholes(B-S)模型的定价效果。By applying the stochastic discount factor methodology,the problem of warrant pricing when the underlying asset follows the stochastic volatility model with leverage effect（SV-L） is considered in this paper.First,the stochastic discount factor is specified as an exponential-affine function of the state variable,which corresponds to an Esscher transform used in actuarial.Based on this exponential-affine specification of the stochastic discount factor,economically consistent and unique price is given for a warrant in incomplete market.Then,the risk-neutral dynamics of the underlying asset return is derived by combining the exponential-affine specification of the stochastic discount factor with the SV-L model.Finally,an empirical study of call warrants for trading on Shanghai and Shenzhen stock exchanges is presented.Empirical results show that the proposed warrant pricing model is more accurate than the classical Black-Scholes（B-S） model.

关 键 词：权证定价 随机贴现因子 ESSCHER变换 杠杆随机波动率模型 

分 类 号：F830.9[经济管理—金融学]