基于股票收益与波动率相关的备兑权证定价

Pricing of Covered Warrants on Correlation between Stock Returns and Volatility

研究标的股票收益与波动率相关下的备兑权证定价.基于Stein and Stein期权定价模型,通过Scott求解由特征函数方法得到备兑权证定价公式.备兑权证价格随股票收益与波动率间相关系数r从-1^+1变化,价平权证的价格变化不明显,价外权证价格比价内权证价格的变化更显著.定价模型考虑了股票收益与波动率相关性对备兑权证的影响,该方法可为中国衍生品市场参与各方提供适合国内市场特殊性的权证定价理论指导.

Studies the pricing of covered warrants on correlation between returns and volatility. Based on the Stein and Stein option pricing model, the European covered warrants pricing model is derived using characteristic functions technique as put forward by Scott. Coefficients of correlation between returns and volatility are different, sensitive to covered warrants price. Changes of the at-the-money warrant price are not obvious, but changes of out-of-the-money warrant are more pronounced than changes of in-the-money warrant. The covered warrant price model considers the effect of correlation between returns and volatility, and provides theoretical guidance for the special domestic derivative market.