摘要
针对中国权证市场的特殊性,基于稀释效应、隐含波动率和非参数修正思想,提出适用于中国市场股本权证定价的非参数修正方法,并将其应用于时间外权证价格的预测。实证结果表明:在中国市场的权证定价和时间外权证价格预测准确性方面,基于稀释效应Ad hoc BS模型的非参数修正定价方法效果最好,相对优于不考虑稀释效应情况下的非参数修正定价方法,半参数定价模型以及参数定价模型效果较差.
This paper presents a pricing method with respect to China stock warrants, based on dilution effect and implied volatility, and applies it to out-of-time prediction. The result shows that, whether in-time pricing or out-of-time prediction of warrant price model-guided nonparametric correction method based on dilution effect and implied volatility outperforms other pricing models including nonparametric correction method based on Ad hoc BS model, semi-parametric model and parametric model.
出处
《数理统计与管理》
CSSCI
北大核心
2014年第2期371-380,共10页
Journal of Applied Statistics and Management
基金
北京工商大学青年基金(QNJJ20123-11)
中国人民大学科学研究基金(中央高校基本科研业务费专项资金资助)项目成果(11XNK027
10XNF020)
关键词
权证定价
稀释效应
非参数估计
价值状况
warrants pricing, dilution effect, nonparametric method, moneyness
