沪深证券市场权证市场价格与理论价格的偏离分析

Analysis on Deviation of Warrants' Market Price from Theoretical Price in Shanghai and Shenzhen Stock Market

本文应用Black-Scholes模型根据沪深证券市场实际情况计算出权证的理论价格,并与其市场价格相比较,发现大多数权证的市场价格与理论价格发生较严重的偏离,且大部分权证的市场价格远高于理论价格,无投资价值;然后本文对权证市场价格与理论价格严重偏离的原因等进行分析。

This paper applies the Black -Scholes model to calculate the warrants＇theoretical price in the Shanghai and Shenzhen stock market. By comparing it with the market price, it is found that there is a big deviation of the market price from the theoretical price, and most warrants＇market prices are much higher than their theoretical prices, which leads to worthless investment. The paper also analyses the causes for such deviation.