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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。
In this paper, we use the stochastic discount factor method to consider the underlying asset pricing under the SV-L model under the Leveraged Stochastic Volatility (SV-L) model. First, based on the Esscher transformation in insurance actuarial, we set the exponential affine function of stochastic discount factor as the state variable. Based on the stochastic discount factor, we can give the only theoretical price of the warrants in the incomplete market. Then, L model, the affine random discount factor is combined with the index to deduce the dynamic process of the risk-neutral probability measure of the underlying asset return. Finally, an empirical study based on the call warrants listed on the Shanghai and Shenzhen Stock Exchanges is given. The results show that the proposed pricing model of warrants is better than the pricing of the classical Black-Scholes (B-S) model.