次分数布朗运动下带交易费用的备兑权证定价  

Pricing Covered Warrants in a Sub-Fractional Brownian Motion with Transaction Costs

作　　者：肖炜麟[1] 张卫国[2] 徐维军[2] 

机构地区：[1]浙江大学管理学院,浙江杭州310058 [2]华南理工大学工商管理学院,广东广州510640

出　　处：《中国管理科学》2014年第5期1-7,共7页Chinese Journal of Management Science

基　　金：国家社会科学基金重大招标项目(11&ZD156);国家杰出青年科学基金资助项目(70825005);国家自然基金资助项目(71101056;71171086)

摘　　要：为了体现金融资产的长记忆性,采用次分数布朗运动刻画备兑权证标的资产价格变化的行为模式。利用随机分析理论和偏微分方程方法,建立了次分数布朗运动下带交易费用的备兑权证定价模型,进一步研究了定价模型的参数估计问题。最后,采用我国权证市场实际数据进行了实证分析,通过比较不同定价模型的结果说明了长记忆性和交易费用对定价结果有着显著的影响。In order to reflect the long memory property of the financial asset, the sub-fractional Brownian motion is introduced to capture the underlying asset of covered warrants. The pricing model of covered warrants is proposed by using the theory of stochastic integration and the method of partial differential equations. Moreover, the problem of parameter estimation is also discussed in this paper. Finally, an empirical study based on China＇s warrant market is presented. The pricing results of different models illustrate that the long memory property and the transaction costs have a significant impact on pricing results.

关 键 词：次分数布朗 交易费用 备兑权证 偏微分方程 二次变差 

分 类 号：F830.59[经济管理—金融学]