中国权证市场的价格偏误及其均衡期权定价模型研究

Warrants Price Bias on China Security Market and a Research Based on the Equilibrium Pricing Model

本文使用Black-Scholas期权定价模型和EGARCH参数估计方法对中国权证市场的当前价格偏误情况进行了研究。结果显示,在引入创设机制后的2006年至2008年,中国权证市场的整体价格偏误程度依然较高,同时呈现出随权证市场价格下降而急剧上升的变化趋势。针对上述现象,本文通过理论推导提出了基于市场均衡条件下的期权定价模型,并以马钢CWB1认购权证为例实证检验了该模型的定价效果,最后得出忽略权证的价格泡沫、市场溢价和波动率估计误差是导致我国权证市场价格偏误较高的主要原因。

This paper uses the Black-Scholas option pricing model and EGARCH volatility estimation method to examine the price bias of warrants on China security market.The results show that after introduction of the covered warrants,the price bias of China warrants market is still huge,and more so when the warrant price decreases.Aimed to the significant price bias,this paper presents the market equilibrium option pricing model,and concludes that the negligence of price bubble,risk beta and volatility estimation errors is the main reason for the warrant price bias in China.Finally,the above conclusion is examined.