论文部分内容阅读
通过对股票可交易过程的分解,将股票的可交易价值分解为流动性价值和波动性价值,其大小主要取决于投资组合的预期变现时间。基于无套利原理的流动性价值模型指出流动性价值主要表现为资金的时间价值。考虑现金红利的随机波动条件下,基于期权定价思想和最小二乘蒙特卡罗模拟的波动性价值模型显示:红利水平决定了波动性价值的存在与否,红利率越高,波动性价值越小,直至最后消失;预期平均波动率是波动性价值的首要影响因素,决定了波动性价值的水平;波动率的变化率是波动性价值的次要影响因素,主要表现为投资者对波动性价值可能存在的风险的认识;波动过程和价格过程的相关程度、波动的均值回复速度等因素则主要反映了波动性价值实现的可能性。
By decomposing the tradable shares, the tradable value of the shares is decomposed into the liquidity value and the volatility value, the size of which depends on the anticipated realization time of the investment portfolio. The liquidity value model based on the principle of no arbitrage points out that the liquidity value mainly manifests as the time value of funds. Under the condition of stochastic volatility considering the cash dividend, the volatility model based on option pricing and least-squares Monte Carlo simulation shows that the dividend level determines the existence of volatility value. The higher the dividend rate, the smaller the volatility value , And finally disappear. The expected average volatility is the primary influencing factor of the volatility value, which determines the level of the volatility value. The volatility change rate is the secondary influencing factor of the volatility value, which is mainly reflected by the volatility value The understanding of the risks that may exist, the correlation between the volatility process and the price process, the average speed of the volatility and other factors mainly reflect the possibility of realizing the volatility value.