权证定价中B-S模型与CSR模型的比较

Warrants Pricing:The Classic B-S Model vs. CSR Model

权证定价模型种类繁多,本文选择其中具有代表性的B-S模型与CSR模型进行比较分析,意在对中国内地权证市场的最优定价模型进行初步的探讨。以沪、深两市在市交易的15只权证为样本,通过分析比较上述两种权证定价模型的实际表现,最后得出:在中国内地权证市场,B-S模型有着更优的市场表现;同时我国权证市场价格高估现象比较明显,投机现象较为严重。最后,本文结合我国特殊的制度背景,利用"再售期权理论"对此进行了简要的分析并提出了相应的政策建议。

Since different kinds of warrants price models exist, this paper chooses two of them： B-S model and CSR model as the starting point to research the optimal warrants pricing model in Chinese warrants market. Using the 15 warrants in the state of transaction listed on the China＇s two bourses as samples; this paper makes detailed analysis and comparisons of the pricing ability for these two models. The pricing results show that B-S model is more appropriate to Chinese warrants market, and the warrant is seriously overpriced in China. There is a strong manipulation in the market. Based on some special institutional mechanism, we use ＂resale options＂ theory to study the reasons for such manipulation, and propose some policy suggestions in the end.