权证定价中B-S模型与CSR模型的比较

中国管理科学 ›› 2009, Vol. 17 ›› Issue (5): 20-26.

权证定价中B-S模型与CSR模型的比较

代军^1,2

1. 华中科技大学经济学院, 湖北武汉 430074;
2. 武汉科技大学管理学院, 湖北武汉 430081

收稿日期:2008-09-03 修回日期:2009-09-01 出版日期:2009-10-31 发布日期:2009-10-31
作者简介:代军(1978- ),男(汉族),武汉人,华中科技大学,讲师,研究方向:金融工程与金融计量.
基金资助:
湖北省人文社科资助项目(2009p022)

Warrants Pricing:The Classic B-S Model vs. CSR Model

Dai Jun^1,2

Huazhong University of Science and Technology, Wuhan University of Science and Technology, Wuhan 430081, China

Received:2008-09-03 Revised:2009-09-01 Online:2009-10-31 Published:2009-10-31

摘要/Abstract

摘要： 权证定价模型种类繁多,本文选择其中具有代表性的B-S模型与CSR模型进行比较分析,意在对中国内地权证市场的最优定价模型进行初步的探讨。以沪、深两市在市交易的15只权证为样本,通过分析比较上述两种权证定价模型的实际表现,最后得出:在中国内地权证市场,B-S模型有着更优的市场表现;同时我国权证市场价格高估现象比较明显,投机现象较为严重。最后,本文结合我国特殊的制度背景,利用"再售期权理论"对此进行了简要的分析并提出了相应的政策建议。

关键词: 权证定价, B-S模型, CSR模型

Abstract: Since different kinds of warrants price models exist,this paper chooses two of them:B-S model and CSR model as the starting point to research the optimal warrants pricing model in Chinese warrants market. Using the 15 warrants in the state of transaction listed on the China's two bourses as samples; this paper makes detailed analysis and comparisons of the pricing ability for these two models. The pricing results show that B-S model is more appropriate to Chinese warrants market,and the warrant is seriously overpriced in China. There is a strong manipulation in the market. Based on some special institutional mechanism,we use "resale options" theory to study the reasons for such manipulation,andpropose some policy suggestions in the end.

Key words: warrant pricing, B-S model, CSR model

中图分类号:

C812

代军. 权证定价中B-S模型与CSR模型的比较[J]. 中国管理科学, 2009, 17(5): 20-26.

Dai Jun. Warrants Pricing:The Classic B-S Model vs. CSR Model[J]. Chinese Journal of Management Science, 2009, 17(5): 20-26.

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