中国证券交易市场认股权证定价模型实证分析

In this paper we mainly make a comparative analysis on a financial issue whether the option valuation should follow a diffusion process or a jump-diffusion process. Considering the clustering effects of financial assets, we firstly calculate the option values by estimating the volatility by GARCH models instead of variance of historical return. In comparing the jump option valuation or a jump-diffusion valuation, we employ mean square error on one hand, on the other hand, we employ the time-varying models that can reflect the intrinsic variation between the actual price and theoretical value instead of co-integration test. Through comparison we found that in Chinese Stock Exchange Market, the option pricing model that the stock prices follow a jump-diffusion process can better reflect the intrinsic variation between the option price and base price of capitals, which may have a better reference to the option pricing in China.