权证定价理论方法的发展过程及未来研究展望

The Evolution of Warrants Pricing Theory Method and Outlook to Future Study

权证作为一类重要的金融衍生产品,近年来越来越受到学术界和实业界人士的广泛关注,因此权证定价问题就成为金融资产定价中的重要研究内容。依据权证定价方法的发展过程及其应用特点,对近些年来国内外在这一领域所开展的主要工作及成果进行系统的分析与评述,提出在该研究领域的进一步研究方向,认为在基于随机波动率假设的基础上,能更加真实地反映权证价值的蒙特卡罗模拟等数值定价方法,将成为权证定价乃至整个金融资产定价的重要方法。

As an important financial derivative, warrants have attracted increasingly extensive attention in the academic and industrial communities in recent years. Therefore, warrants pricing problem has become an important part in research on financial assets pricing. A systematic analysis and comment is made on the main achievements in this field recently in accordance with the evolution of warrants pricing methods and their application features, and proposals are presented for further research dimension in this field, holding that such digital pricing methods as Monte Carlo simulation which can reflect the value of warrants in a more authentic manner on the basis of random fluctuation ratio assumption will be an important method for warrants pricing, even for the whole financial assets pricing.