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GARCH-M框架下权证定价研究

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摘要 利用标的股票的日收盘价格数据进行GARCH-M参数估计,然后利用物理测度和风险中性测度之间的局部风险中性定价关系,为目前国内的备兑权证进行定价。定价结果表明GARCH框架下的权证定价模型比历史波动率模型能够更好地吻合市场数据,但和市场价格之间仍有差距。分析了这种差异的原因,并给出相应的对策建议。
作者 秦洪元 张蕾
出处 《商场现代化》 北大核心 2007年第11S期392-393,共2页
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