基于随机贴现因子方法的权证定价研究

Chinese Journal of Management Science ›› 2012, Vol. ›› Issue (4): 1-7.

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

Abstract

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

CLC Number:

F830.9

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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Stochastic Discount Factor-Based Approach for Warrant Pricing

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