正股收益自相关性与备兑权证的定价

Auto-correlated Stock Returns and Pricing of Derivative Warrants

实证研究表明,我国证券市场多数权证正股收益间存在自相关现象。在PERELL和MASOLIVER期权定价模型基础上,通过改进趋势Ornstein-Uhlenbeck过程中的调整因子参数,建立正股收益自相关下的备兑权证定价模型,并进行了实证分析。结果显示正股收益间的自相关性对权证定价影响比较显著,改进的模型明显改善权证的定价效果;模型价与市场价差异显著,反映国内市场投机过度,市场体系需要不断完善。

Empirical studies show that there exits stock returns autocorrelation for the majority of warrants in China＇s securities market. Based on the Perell and Masoliver option pricing model, the derivative warrants pricing model was established by improving the adjustment factor parameter of the trend Omstein - Uhlenbenk process in an inefficient market where the stock returns are auto correlated. The results of the empirical analysis show that stock returns autocorrelation remarkably influences the pricing of warrant, and the improved warrant pricing model significantly improves the pricing effect. The remarkable differences between the model price and the market price reflect the excessive speculation in domestic market. So some improvement is needed in perfec- ting the market system.