本文選題：權(quán)證　切入點(diǎn)：定價(jià)模型　出處：《西南財(cái)經(jīng)大學(xué)》2012年碩士論文

【摘要】：權(quán)證作為一種金融創(chuàng)新工具,最早起源于美國,隨著金融市場的不斷發(fā)展,如今權(quán)證已經(jīng)成為了世界金融衍生市場中最為活躍的產(chǎn)品之一。在當(dāng)今全球證券市場上,權(quán)證作為投資、對沖和套利的工具而被投資者所廣泛運(yùn)用。 在我國,權(quán)證最早出現(xiàn)于1992年,當(dāng)時(shí)中國內(nèi)地證券市場發(fā)行股票所采用的主要方式為“股票認(rèn)購證”,而“股票認(rèn)購證”即為股本權(quán)證的雛形。權(quán)證的出現(xiàn)標(biāo)志著中國內(nèi)地股份制度改革新的開端,從此中國內(nèi)地證券市場進(jìn)入了前所未有的高速增長期。但后來由于過度投機(jī),權(quán)證市場于1996年被迫關(guān)閉,權(quán)證暫時(shí)退出歷史舞臺。2005年我國為配合股權(quán)分置改革而再次推出權(quán)證,并很快得到市場的認(rèn)可,市場交投活躍,為活躍我國資本市場做出了巨大的貢獻(xiàn)。然而市場上的過度投資再次影響了權(quán)證市場的正常運(yùn)轉(zhuǎn),使其基本功能——價(jià)格發(fā)現(xiàn)、風(fēng)險(xiǎn)管理等難以得到發(fā)揮,權(quán)證市場成為了只存在投機(jī)交易的場所。最終,權(quán)證市場于2011年再次關(guān)閉,至今在沒有新的權(quán)證出現(xiàn)在我國證券市場上。 在我國權(quán)證市場兩次發(fā)展階段中,都存在著很多相似的問題,比如換手率過高、投機(jī)氛圍濃厚、定價(jià)偏高等現(xiàn)象。導(dǎo)致這些現(xiàn)象出現(xiàn)的原因錯綜復(fù)雜,但關(guān)鍵原因之一是我國認(rèn)股權(quán)證定價(jià)的不合理。因此要想權(quán)證盡早回歸證券市場,保證權(quán)證市場正常、有效的發(fā)揮其市場功能,首要解決的就是認(rèn)股權(quán)證的定價(jià)問題。所以,定價(jià)問題研究就具有很重要的現(xiàn)實(shí)意義和研究價(jià)值。 本文選用了Black-Scholes模型、二叉樹模型和蒙特卡羅模擬模型對我國認(rèn)股權(quán)證的定價(jià)為進(jìn)行實(shí)證研究,希望能夠找出一個(gè)適用于我國權(quán)證市場的定價(jià)模型。研究選取了深發(fā)、華菱、深能和長虹四只權(quán)證作為研究性對象,分別應(yīng)用上述模型進(jìn)行定價(jià)。在定價(jià)過程,同時(shí)對歷史波動率、隱含波動率、GARCH (1,1)模型下的波動率三種波動率進(jìn)行了區(qū)分,并分別應(yīng)用于定價(jià)模型中比較定價(jià)結(jié)果。實(shí)證結(jié)果顯示運(yùn)用GARCH (1,1)模型下的波動率進(jìn)行蒙特卡羅模擬定價(jià)能夠提供更好的價(jià)格預(yù)測。同時(shí),實(shí)證結(jié)果還表明我國權(quán)證市場普遍存在定價(jià)偏高的問題,這說明權(quán)證市場本身的缺陷產(chǎn)生的市場因素對權(quán)證定價(jià)有著極大影響。本文針對該問題做了進(jìn)一步分析,總結(jié)我國權(quán)證市場存在的問題并進(jìn)行了相應(yīng)的研究分析。
[Abstract]:Warrants, as a financial innovation tool, originated in the United States. With the continuous development of financial markets, warrants have become one of the most active products in the world financial derivatives market.In today's global securities market, warrants are widely used by investors as instruments of investment, hedging and arbitrage.In our country, warrants first appeared in 1992. At that time, the main way of issuing stock in China's mainland stock market was "stock subscription warrants", and "stock warrants" was the embryonic form of equity warrants.The emergence of warrants marks a new beginning of the reform of the stock system in mainland China, and the securities market in mainland China has entered an unprecedented period of rapid growth.However, as a result of excessive speculation, the warrants market was forced to close in 1996, and warrants were temporarily withdrawn from the historical stage. In 2005, China launched warrants again in order to coordinate with the reform of the split share structure, and was soon recognized by the market, and the market was active in trading.For our country's capital market has made a great contribution.However, the excessive investment in the market has once again affected the normal operation of the warrant market, which makes its basic function, such as price discovery and risk management, difficult to play, and the warrant market has become a place where there is only speculation.Finally, the warrants market was closed again in 2011, and no new warrants have appeared in China's securities market.In the two stages of development of warrant market in China, there are many similar problems, such as high turnover rate, strong speculative atmosphere, high pricing and so on.The causes of these phenomena are complicated, but one of the key reasons is the unreasonable pricing of warrants.Therefore, in order to return warrants to the securities market as soon as possible, to ensure that the warrants market is normal and to play its market function effectively, the most important solution is the pricing of warrants.Therefore, the study of pricing has a very important practical significance and research value.In this paper, we choose Black-Scholes model, binary tree model and Monte Carlo simulation model to study the pricing of warrants in China, hoping to find a pricing model suitable for China's warrants market.Four warrants, Shenfa, Valin, Sheneng and Changhong, are selected as research objects.In the course of pricing, three kinds of volatility under the historical volatility, implied volatility and GARCH / 1) model are distinguished and applied to compare the pricing results in the pricing model.The empirical results show that Monte Carlo simulation pricing can provide better price prediction by using volatility under GARCH model.At the same time, the empirical results also show that the issue of high pricing exists in China's warrants market, which indicates that the market factors caused by the defects of warrant market have a great impact on warrant pricing.This paper makes a further analysis of this problem, summarizes the existing problems in China's warrant market and carries out corresponding research and analysis.
【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F832.5

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