权证理论定价与市场定价偏离度的实证分析——以赣粤CWB1为例

Theory of pricing and market pricing warrants deviation Empirical Analysis——Case Study of Guangdong CWB1 Gan

通过选取赣粤权证对我国的权证市场进行实证分析,发现市场定价不仅在多个时点大大高于理论定价,而且长期来看其变化趋势也独立于理论定价,理论定价与市场定价两者的偏离是不稳定的、随机的。文章简单分析了导致这一结果的主要原因。

Jiangxi and Guangdong by choosing the warrants market in China warrants an empirical analysis,we found not only in the number of market pricing significantly higher than the theoretical price point,but in the long term the trend is also independent of the theory of pricing,theory of pricing and market prices of both deviation is unstable,randomly.The article briefly analyzes the main reason for this result.