我国权证市场定价和平价关系研究——基于五粮权证的实证分析.pdf

对外贸易学会
硕士程度论文
我国家主权证市场管理所物价及平等相干探索——鉴于五粮权证的确证分

姓名:刘慎峰
适合程度水平的:硕士
专业:金融学
有指导意义的事物教员:门明
20080401
摘 要
我国认股权证的历史不长,但市场管理所投机贩卖流行一时。、市场管理所过热,价钱过高。
高估等成绩变成市场管理所关怀的调整焦点以便看清。。
股票价钱动摇是股票价钱的定局做代理商,本文采取历史动摇法
速率法和 GARCH (1,1)样品用于测动摇性。,当时的重新浮现在 Black-Scholes 物价样品
五粮食补给认股权证 YGC1 公开让售认股权证 YGP1 举行确证探索,提醒我国的保密的
权证的现实价钱与实际价钱背离,并经过减轻看涨调动球员
蝶式认股权证无风险套利时机的结帐。
最近的,本文根究了权证市场管理所P大背离的出现。,奇纳河的锡蒂权证
为石油矿床的稳固开展筹集保险单提议。
关键词:GARCH 样品,Black-Scholes 样品,权证物价,调动球员平等处方一览表
Abstract
Though the history of warrant in China is not very long, it still becomes the focus
of the security market because of so many speculative activities in the warrant market
and the overvaluation of its 价钱。
The volatility of stock price is a decisive factor in derivatives ’ 物价。 This paper
use historical volatility method and GARCH(1),1) model to estimate the volatility of
stock 价钱。 Then through empirical analysis of two warrants (Wuliang YGC1 and
Wuliang YGP1) with Black-Scholes model this paper reveals the deviation between
the actual and theoretical pric es of China ’s warrant 市场管理所。 For further analysis we
test the risk-free chances of arbitrage by the put-call parity 相干。
Finally this thesis 议论 the causes of the large deviation between the actual
and the theoretical prices from the warrant pricing 机制。 Also this paper
议论 some other problems about the warrant market and some countermeasures
are put forward to solve 他们。
Key words: GARCH(1),1) model, Black-Scholes model , Warrant pricing , Put-call
parity
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