基于随机贴现因子方法的权证定价研究

中国管理科学 ›› 2012, Vol. ›› Issue (4): 1-7.

• 论文 • 下一篇

基于随机贴现因子方法的权证定价研究

吴鑫育¹, 周海林¹, 马超群², 汪寿阳³

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

收稿日期:2011-06-01 修回日期:2012-02-19 出版日期:2012-08-29 发布日期:2012-08-29
基金资助:
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)

Stochastic Discount Factor-Based Approach for Warrant Pricing

WU Xin-yu¹, ZHOU Hai-lin¹, MA Chao-qun², WANG Shou-yang³

1. School of Finance, Anhui University of Finance and Economics, Bengbu 233030, China;
2. School of Business Administration, Hunan University, Changsha 410082, China;
3. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China

Received:2011-06-01 Revised:2012-02-19 Online:2012-08-29 Published:2012-08-29

摘要/Abstract

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。

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

Abstract: 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.

Key words: warrant pricing, stochastic discount factor, Esscher transform, stochastic volatility model with leverage effect

中图分类号:

F830.9

吴鑫育, 周海林, 马超群, 汪寿阳. 基于随机贴现因子方法的权证定价研究[J]. 中国管理科学, 2012, (4): 1-7.

WU Xin-yu, ZHOU Hai-lin, MA Chao-qun, WANG Shou-yang. Stochastic Discount Factor-Based Approach for Warrant Pricing[J]. Chinese Journal of Management Science, 2012, (4): 1-7.

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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

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