基于garch扩散模型的权证定价

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Vol.32,No.320123
SystemsEngineering—Theory&PracticeMar.,2012:1000-6788(2012)03-0449-09Æ:F830.9:AGARCH
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!,@-())./A.BC>?:GARCH')+(DEBlack-Scholes(B-S)(GHI+J0.)+;GARCH'(;-!;2"#WarrantpricingbasedonGARCHdiffusionmodelWUXin-yu1,ZHOUHai-lin2,WANGShou-yang1,3,MAChao

3、-qun1(1.SchoolofBusinessAdministration,HunanUniversity,Changsha410082,China;2.SchoolofFinance,AnhuiUniversityofFinanceandEconomics,Bengbu233030,China;3.AcademyofMathematicsandSystemsScience,ChineseAcademyofSciences,Beijing100190,China)AbstractInthispaper,weconsiderthe

4、issueofwarrantpricingwhentheunderlyingassetfollowstheGARCHdiffusionmodel.Firstly,wedevelopamethodformaximumlikelihood(ML)estimationoftheGARCHdiffusionmodelbasedontheefficientimportancesampling(EIS)technique.Then,takingSSEandSZSEcompositeindicesinChinesestockmarketasanexam

5、ple,weapplytheEIS-MLmethodtoestimatetheparametersoftheGARCHdiffusionmodel,andwefindthattheEIS-MLmethodisefficient.Finally,anempiricalstudyofHangSengIndexwarrantsispresented.EmpiricalresultsshowthattheGARCHdiffusionwarrantpricingmodelismoreaccuratethantheclassicalBlack-Scho

6、les(B-S)model.Keywordswarrantpricing;GARCHdiffusionmodel;efficientimportancesampling;maximumlikelihood1KL(warrant)“”,
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