基于股票收益的期权定价与实证分析

Option Price and Empirical Analysis Based on the Return of Stock

采用两种方法对传统的期权定价参数方法进行修正。一种是利用股票对数收益率的偏度与峰度对传统的期权定价方法计算出的期权价格进行修正,另一种是通过建立GARCH模型来预测股票收益的波动率,对传统定价方法中波动率为常数的假设进行修正。选取国电CWB1(580022)权证进行实证分析,结果表明修正得出的期权价格与实际的权证价格有很大的偏差,并对这样实证结果进行解释。

This paper used two methods to amend the traditional parameter option price.One method is that we amend the traditional option price by means of the skewness and kurtosis of the stock log-return, the other method is that we establish GARCH model to forecast the volatility in order to amend the hypothesis of the volatility is a constant in traditional option price. The paper selected state power warrant state power CWB1 （580022）as empirical analysis, and it demonstrated that the amended option prices has a large deviation with the actual prices, and we explained the empirical results.