表1:权证发行时各股价对应的权证理论价值:fficeffice" />
股价(元) |
权证理论价值(元) |
Delta |
股价(元) |
权证理论价值(元) |
Delta |
4.5 |
0.54 |
0.58 |
5.1 |
0.94 |
0.74 |
4.6 |
0.60 |
0.61 |
5.2 |
1.01 |
0.76 |
4.7 |
0.66 |
0.64 |
5.3 |
1.09 |
0.78 |
4.8 |
0.73 |
0.66 |
5.4 |
1.17 |
0.80 |
4.85 |
0.76 |
0.68 |
5.5 |
1.25 |
0.82 |
4.9 |
0.80 |
0.69 |
5.6 |
1.33 |
0.83 |
4.95 |
0.83 |
0.70 |
5.7 |
1.42 |
0.85 |
5 |
0.87 |
0.71 |
5.8 |
1.5 |
0.86 |
表2:权证价格对应的隐含波动率:
权证价格(元) |
0.5 |
0.6 |
0.7 |
0.8 |
0.9 |
1.0 |
1.1 |
1.2 |
隐含波动率(%) |
21.37% |
26.94% |
32.50% |
38.06% |
43.65% |
49.27% |
54.92% |
60.55% |
杠杆倍数 |
9.26 |
7.72 |
6.61 |
5.79 |
5.14 |
4.63 |
4.21 |
3.86 |
实际杠杆倍数 |
5.76 |
4.76 |
4.08 |
3.59 |
3.22 |
2.93 |
2.69 |
2.50 |
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