欧式期权定价与沪深证券市场权证价格分析

Study on the Relationship of Western-style Optim Pricing and Warrants Prices in the Shanghai and Shenzhen Stock Markets

通过比较基于Levy过程的权证价格、基于Black-Scholes公式的权证价格和权证市场价格,发现如果假设股票收益率服从NIG分布为权证定价,其效果与直接应用Black-Scholes公式的效果差别不是很大。与国际经验相比,沪深证券市场确实存在部分权证市场价格的异常,权证的理论价格与市场价格偏差很大,这种偏差不能简单解释为Black-Scholes公式的不适用。由于过于严格的套利交易限制,套利的成本也很高,扩大了投机交易的空间,使得部分权证理论价格与市场价格长期偏离,少数投资者交易非常频繁,权证交易主要由市场中少数大户主导,权证交易金额、交易价格并不反映多数投资者的态度。

This paper compares the options prices based on Levy process with the option prices based on the Black - Scholes＇ formula and the options market prices. The difference between the prices of options under Black -Scholes＇ formula and the prices assuming the underlying stock yield follows NIG distribution are not great. Comparing with international experience, market prices of warrants in the Shanghai and Shenzhen stock markets are exist abnormal. The differences between market price and theoretical price is quite large. Due to too strict arbitrage trading limits and arbitrage high costs, there are too much speculative trading, driving gap between theoretical price and the market price of parts of the warrants last for a long time. A few of investors trade warrants very frequently and contribute most of the warrant trading volume. Both the trading volume and the trading price does not reflect the attitude of the majority of investors.