Empirical Test Of Pricing Efficiency Between BOP Model And SVJ Model Based On B-s Model

As the word towards global economic integration and the market of financial derivative products is becoming more and more mature, the regulator, the bourse and the intermediary service organizations are gradual improvement, and also with the theory and method of the option pricing, which has the function of guide for the financial transactions, the company’s financial management and risk management. All of the theory of financial derivative pricing can be divided into Martingale Measure, Partial Differential Equations, Dynamic Programming and Monte Carlo Simulation. The most famous methods are the Binomial Option Pricing Model, earliest found in the paper of John C.Cox, S.A.Ross and Mark Rubinstein in1979, and the Black-Scholes Option Pricing Model. The B-S model has been widespread as its convenience and simplicity, but limited to the assumptions, it is not consistent with the actual market changing. How to weaken the not meeting the actual market assumptions of B-S model has become to the focus of the study. Overall, the improvements of B-S model are based on the two following aspects:the underlying asset price follows a lognormal distribution and the volatility is constant. The Jump-Diffusion Model of Bates (1996) Stochastic Volatility-Random Jump Model is a combination of the following two models:The Jump-Diffusion Model of Merton (1976) and the stochastic Volatility Model of Heston (1993).This article is elaborated on the basis of the mature option pricing theory, trying to use Binomial Option Pricing Model, the Black-Scholes Option Pricing Model and the Stochastic Volatility-Random Jump Model to price our warrants products, trying to analyze the pricing efficiency.Experimental results show that:SVJ model in pricing of warrants has the highest efficiency, although the warrants late exists a underestimate phenomenon, but compared with Binomial Option Pricing Model and the Black-Scholes Option Pricing Model of option pricing fitting, SVJ model still has a relatively advantage.