摘要
权证的定价是发行者和投资者关心的难点问题。沪深权证市场交易量曾超过股票市场交易量,2006年底更是一跃成为全球最大权证交易市场之一。国外、中国香港和台湾地区权证类金融衍生产品利用BS-IV模型尤其是HW-IV模型定价,其结果绝大部分与实际价格相差在5%以下,而沪深权证价格与这些模型定价结果相差非常大,尤其是有些理论价值较低的权证,被市场高估达几百倍。在国内外学者研究的基础上,针对欧式认购权证提出了五因素模型,并作了实证研究。结果表明,这些因素的确对权证价格影响较大。
The pricing of warrant is a focus of concern by the issuers and investors. The volume of warrant in Shanghai and Shenzheng has surpassed the volume of the stock in China, and at the end of 2006, the Chinese warrant market became one of the biggest in the world. The warrants are priced precisely by using BS - IV and HW - IV models in foreign markets as well as in Taiwan and Hong Kong of China. But the warrant prices in Shanghai and Shenzheng show a great difference from those models, and some are set at a price hundreds of times more than their theoretical value. This paper proposes a five-factor model based on a European warrant model, and puts it in a case study that has proved the great effects of these factors.
出处
《云南民族大学学报（哲学社会科学版）》
CSSCI
北大核心
2007年第4期72-75,共4页
Journal of Yunnan Minzu University(Philosophy and Social Sciences Edition)
关键词
欧式认购权证
定价
五因素模型
European call warrant
pricing
five-factor model
