基于Black-Scholes的权证定价分析——以武钢权证为例

Analysis of Warrant Pricing Based on Black-Scholes——Taking Wugang Warrant for Example

本文以武钢权证为研究样本,分析了股票收益率的分布特征,并检验了收益波动率的条件异方差性。通过综合考虑认股权证的影响因素,运用Black-Scholes公式及蒙特卡罗模拟方法求得武钢认购权证的理论值和模拟值,并与实际值进行比较,探讨了蒙特卡罗模拟法对权证定价的应用。

The paper analyzies the distribution character of returns ratio on the basis of the sample wu-gang warrant,and exams the conditional heteroscedastic of returns ratio fluctuation. Concerting some factors of subscribes warrant,the paper gets the theory price by the two methods:Black-Scholes formula and Monte Carlo modeling and compare with real price. At last,the paper discusses the use of Monte Carlo modeling in carrying on investment of warrant.