The Pricing of Japanese Equity Warrants
发现Black-Scholes模型对日本股权认股权证的定价与市场价格存在偏差，部分原因是标的股票价格波动的随机性。作者用GARCH和EGARCH模型拟合随机波动率，并用跳点算法为认股权证定价，但结果仍与市场价格有较大差异；相比之下，相同模型对短期虚值日经225期权的定价则接近市场价。最后用回归模型将价差归因于市场摩擦因素。
Discrepancies between the Black-Scholes value of Japanese equity warrants and their observed prices are explained in part by the stochastic volatility of changes in prices of the underlying stocks. We fit GARCH and EGARCH models to the stochastic volatility and briefly compare their performance to the CEV model. A hopscotch algorithm is used to value the warrants in the presence of the stochastic stock price volatility. The stochastic volatility-hopscotch warrant values still differ substantially from corresponding prices; in contrast, away-from-the-money short-term Nikkei 225 options valued with the same stochastic volatility models are close to observed prices. A regression model is used to fit the differences between warrant values and prices as a function of proxies for market impediments.