蒙特卡罗模拟方法在认股权证定价中的应用唐钊终稿副本副本.docVIP

PAGE PAGE 30 基于二叉树模型的可转债定价应用 The Application of Monte Carlo Simulation Method to 唐国雷 统计与应用数学学院信息与计算科学专业2008（0）班 200873024 指导教师：邓留保讲师 内容摘要：可转换债券是指发行人依照法定程序发行，赋予其持有人在一定时间内依据约定条件将其转换成一定数量股票（绝大多数情况下是发行公司的股票）权力的公司债券。其持有人可以在规定的期限内，将债券按既定的转换价格和转换比率转换为相应公司的普通股；但在持有人不执行转换权利之前，公司必须按时支付利息，如果可转债到期持有人仍然不愿意转换，则公司还必须全额偿还本金。 可转债首先是一种公司债券，既可以是附息票债券，也可以是零息债券；其发行主体既可以是未上市的股份有限公司，也可以是上市公司；既可以是国内公司，也可以是国外公司。其次，持有人有行使“转换”的权利，但无义务。 关键词：认股权证；蒙特卡罗模拟；Black-Scholes定价公式；方差削减 Abstract: Warrant has become one of the most popular stock derivatives in international security market recently. In china, warrant appeared in the wake of the non-tradable share reform in the Chinese stock market. Because of its high leverage and risk, the pricing of warrant attracted focus from so many investors and researchers, but it is very strict of the hypothesis of the classic Black-Scholes option pricing equation. Under the hypothesis of risk neutrality, the price of warrant can be expressed as the present value of its expectation. This provides the possibility for pricing warrant with Monte Carlo simulation method. In this paper, I apply Monte Carlo method in simulating the path of the underlying asset and program a large amount of simulation with the matlab software. Thus, I can solve the problem of warrant pricing efficiently. Then, I compare the results of Monte Carlo simulation method and Black-Scholes option pricing equation with the real warrant prices. I conclude that the Monte Carlo simulation method is more accurate than Black-Scholes option pricing equation. At last, in order to improve the stability and save the time of calculation, I use the antithetic variable method to reduce the variance. Key words: Warrant Pricing; Monte Carlo Simulation Method; Black-Scholes Option Pricing Equation; Variance Reduction 目 录 TOC \o 1-2 \h \z \u 1.引言 1 2.认股权证 1 2.1认股权证简介 1 2.2认股权证的价值结构 3 2.3认股权证价值的影响因素 3 3.蒙特卡罗（Monte Carlo）模拟方法 4 3.1蒙特卡罗模拟方法简介 4 3.2蒙特卡罗模拟方法的理论依据 4 3.3蒙特卡罗模拟方法的原理和思想 5