期权定价的“有限理性”视角:基于投资者情绪的研究

The limited rational perspective of Option Pricing: a study based on investor sentiment

2013年的种种迹象表明我国金融市场将进入期权时代。期权价值的确定是期权功能发挥的前提和基础。本文从行为金融学的角度出发,在传统二叉树期权定价模型的基础上,通过引入投资者情绪变量构建基于投资者情绪的欧式看涨期权定价模型。模型表明,投资者情绪不仅通过行为随机折现因子直接影响期权价值,而且通过影响标的证券的价值运行概率间接影响期权的最终价值;投资者情绪与期权价格之间呈现正相关关系。最后,基于长虹CWB1的实证研究也表明了传统期权定价模型存在的缺陷,通过求解权证实际交易价格与理论价格之间的偏差,可以反算出投资者情绪,进而预测权证的行为价值。

Value of options is the basis and premise of the options function, but a large number of empirical studies have shown that traditional option pricing models which based on the efficient market hypothesis faces a big limitation. With the development of the theory of behavioral finance, this paper introduce investor sentiment to the traditional binary option pricing model and try to build a pricing model for European call options, The results show that investor sentiment does affect the options values positively by means of both stochastic discount factors and the probabilities of final price of underlying securities. The conclusions is strongly supported by empirical studies based Changhong CWB 1 from china warrants market.