期权定价模型的有效性:来自中国权证市场的证据  

Efficiency of the options pricing model:Evidence from the Chinese warrant market

作　　者：王茵田[1] 陈硕嵩 

机构地区：[1]清华大学经济管理学院,北京100084

出　　处：《清华大学学报（自然科学版）》2015年第2期218-222,共5页Journal of Tsinghua University(Science and Technology)

基　　金：国家自然科学基金青年基金资助项目(71101080)

摘　　要：为寻找适合中国权证市场的定价理论,该文对传统的Black-Scholes期权定价模型进行了改进。由于实际中股票收益率的分布呈现出偏峰和厚尾的现象,并不服从BlackScholes模型中的正态假设,该文对该模型从2方面修正:采用NGARCH模型刻画收益率的波动;在随机扰动项中引入跳跃项。该文对53支权证基础资产收益率序列分别用3种模型进行拟合,采用Monte Carlo模拟方法计算权证理论价格和定价偏差。该文发现NGARCH-Normal与NGARCHJump模型较Black-Scholes模型产生较小的定价偏差;带跳跃的模型NGARCH-Jump优于NGARCH-Normal模型。因而证实了采用动态波动率并引入跳跃能够显著提升期权定价准确性。The study applies the Black-Scholes option pricing model to the Chinese warrant markets. Empirical evidence shows that Chinese stocks have negative skewness and fat tails, which do not satisfy the assumptions of the Black-Scboles model The paper improves the model by applying the NGARCH model and introducing jumps in returns. The paper fits three models to 53 warrants and compares their pricing errors. The results show that both NGARCH models outperform the Black Scholes model but that the NGARCH-Jump model is even better. Thus, jumps are important to improving Chinese warrant pricing efficiency.

关 键 词：证券市场 权证 NGARCH模型 波动率 跳跃 定价偏差 

分 类 号：F830.91[经济管理—金融学]