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应用极大似然方法估计了Black-Scholes(B-S)模型和不变方差弹性(CEV)模型的参数,进而采用2005年8月至2010年9月在沪深交易所上市的55支权证的共14822个日收盘数据为研究样本,实证检验了B-S模型与CEV模型的定价效果.结果表明,B-S模型与CEV模型的定价精确性并没有显著的差别,两个模型对于中国权证定价的误差都非常大,存在普遍严重低估的现象.因此,经典的B-S模型与CEV模型均不适合中国的权证市场.最后,结合我国特殊的交易制度背景,对此进行了简要的分析.
The parameters of the Black-Scholes (BS) model and the invariant variance elasticity (CEV) model are estimated using the maximum likelihood method, and then the total of 55 warrants listed on the Shanghai and Shenzhen Stock Exchanges from August 2005 to September 2010 14,822 daily closing data are used as research samples to test the pricing effect of BS model and CEV model empirically.The results show that the pricing accuracy of BS model and CEV model is not significantly different.The errors of pricing model and pricing model of China Warrants are very different Therefore, the classic BS model and the CEV model are not suitable for the warrants market in China.Finally, the paper briefly analyzes the background of our country’s special trading system.