低波动率溢价条件下的备兑权证定价

Covered Warrant Pricing at Low Volatility Spread

作为对传统期权定价模型的改良,本文将不同的波动率模型导入Black Schole(1973)模型以及Hull & White(1987)模型,研究了在低波动率溢价条件下各种波动率模型与定价模型结合而形成的新定价模型对中资股背景的备兑权证定价的能力。根据样本所计算的结果显示,Hull&White模型与GARCH等波动率模型的结合能够较为精准地对备兑权证进行定价。此外,面对我国证券市场可能迎来的备兑权证即将发行的格局,本文还提出了加强发行商资格审批、发行后风险控制监管相对灵活等建议。

As a modification to traditional option pricing model, this paper introduces a variety of volatility models into the Black Schole （1973） model and Hull ＆ White （1987） model, investigating under low volatility spread the capability of different option pricing model embedded with these volatility models. The result suggests that the Hull ＆ White model armed by volatility models such as GARCH has the highest pricing power measured by RME. With the imminent launching of covered warrants in China, this paper offers proposal to the regulators, e.g., high threshold for issuers and flexible regulation after listing.