| 基于多分形波动率测度的权证定价方法研究 |
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| 引用本文： | 王鹏,魏宇,王建琼. 基于多分形波动率测度的权证定价方法研究[J]. 管理科学, 2009, 22(2) |
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| 作者姓名： | 王鹏 魏宇 王建琼 |
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| 作者单位： | 西南交通大学,经济管理学院,成都,610031 |
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| 基金项目： | 国家自然科学基金，教育部新世纪优秀人才支持计划 |
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| 摘 要： | 金融复杂性研究表明,无论是成熟资本市场还是新兴资本市场,其价格波动除了具有时变、聚类和杠杆效应等典型特征外,还普遍具有更复杂的多分形特征.以中国股票市场中的4只认购权证为例,通过深入考察并充分提炼股价多分形分析过程中产生的对定量描述价格波动有益的统计信息,提出一种新的金融市场波动率测度,即多分形波动率,并进一步探讨其在权证定价领域中的实际应用.实证结果表明,中国股票市场的股价波动确实具有明显的多分形特征;且在B-S定价模型框架下,多分形波动率测度具有比常用的GARCH波动率测度和EGARCH波动率测度更优异的权证定价精度.
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| 关 键 词： | 权证定价 多分形 波动率测度 B-S模型 |
Warrant Pricing Based on Multifractal Volatility Measurement |
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| WANG Peng,WEI Yu,WANG Jian-qiong. Warrant Pricing Based on Multifractal Volatility Measurement[J]. Journal of Management Science, 2009, 22(2) |
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| Authors: | WANG Peng WEI Yu WANG Jian-qiong |
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| Affiliation: | WANG Peng,WEI Yu,WANG Jian-qiong School of Economic & Management,Southwest Jiaotong University,Chengdu 610031,China |
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| Abstract: | Recent research on financial complexity discovers that,whether in developed capital markets or emerging ones,the price volatility presents multifractal characteristics besides time varying,clustering and leverage effect.Taking 4 warrants in Chinese stock market as sample,this paper proposes a new volatility measure,named multifractal volatility(MFV),by digging useful statistical information derived from multifractal analysis to stock price.In order to verify MFV's validity,we discuss its application in warr... |
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| Keywords: | warrant pricing multifractal volatility measurement Black-Scholes model |
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