毕业论文：基于B-S模型的波动率研究（终稿）.doc

 PAGE 29 摘 要 在现代金融市场中，风险是通过衍生产品实现定价的，所谓资产定价机制就是对风险进行分割?组合和定价。衍生产品可帮助各种资产实现准确定价，从而成为人类迄今为止最有效的资源配置工具。开发研究金融衍生产品对进一步发挥我国证券市场的资源配置功能起着至关重要的作用。权证作为一种初级金融衍生产品，适宜作为发展衍生品市场的敲门砖，它对于我国证券市场发展其它金融衍生产品有着积极而深远的意义。 本文针对B-S模型在权证定价中的应用，提出了基于市盈率的应用方法，通过历史波动率来计算出权证的内在价值，通过计算数据的比较，验证了方法的现实意义，从而使得大家对权证的合理价格有了一个计算判断方法。本文中还验证提出了隐含波动率的局限性。 关键词： 期权 权证 市盈率 B-S定价模型 ABSTRACT In nowadays financial market ，the price of risks is decided by financial derevative product，the capital pricing system is to break ， combine and fix?the price of the risks. financial derevative product can help to price all kind of capitals ， which is the most effective resource assignment instrument ever. Develope and Resarch on financial derevative products?is very important in assigning resource for our security market. Options is a primary financial derevative product，which plays an optimistic and critical role in the developement of our security market. This research based on the application of b-s model in option pricing ， aimed to find a better way which is based on p/e (price/earning) ratio to calculate the inner value of options through historic fluctuation . By comparing the calculated data ， this research tested and verified the significance of this method?so to get??calculation method for pricing the options， the limitation of the hided fluctuation?ratio is also verified?in this research . ? keyword： options??warrant? p/e (price/earning) ratio???B-S pricing model 第一章 导论……………………………………………………………………………6 1.1本文研究的背景与目的……………………………………………………………6 1.2研究方法及研究框架………………………………………………………………6 1.3文献综述……………………………………………………………………………6 1.3.1西方期权定价理论 ………………………………………………………………6 1.3.2布莱克-斯科尔斯定价模型 (以下简称B-S模型) 介绍………………………7 1.3.3权证理论及发展状况介绍………………………………………………………12 第二章 目前我国权证市场对B-S模型应用的实证分析……………………………16 2.1基本概念……………………………………………………………………………16 2.2样本介绍……………………………………………………………………………17 2.3传统方法对各样本的实证研究……………………………………………………18 2.3.1样本的各类波动性的计算结果…………………………………………………18 2.3.2理论价格计算……………………………………………………………………19 2.3.3对传统方法计算结果的数据分析……………………………