摘要
以沪深证券交易所上市的11个认购权证为样本,利用SAS统计软件计算随机波动率,采用蒙特卡罗方法估计了权证的理论价值,与市场价格比较发现,总的来看,此方法计算的权证理论价值能较好地解释权证市场价格。
The eleven warrants listed in the Shanghai and Shenzhen stock exchanges for were set for samples, based on stochastic volatility and Monte Carlo methods were applied to estimate the theoretical value of warrants, comparison to the market price was made. This method of calculating the value of Warrants can be used to explain the market prices of warrants from the overall perspective.
出处
《科学技术与工程》
2007年第24期6492-6495,共4页
Science Technology and Engineering
基金
国家自然科学基金项目(10771075)资助
关键词
认购权证
蒙特卡罗
随机波动率
call warrants Monte Carlo methods stochastic volatility
