中文摘要：

通过对股票价格行为的分析，指出除流动性价值外，股票价格的波动性同样可能具有价值。在股票内在价值不变的条件下，将波动性价值视为一个美式期权，进而应用非参数蒙特卡罗模拟求得随机波动条件下波动性价值的基本分布特征，即波动性价值受预期波动率、预期波动率的波动率、预期波动率的均值回复速度和波动率过程与价格过程的相关程度等因素的共同影响；预期波动率是最主要的影响因素，二者呈正相关关系，即投资者对未来波动的预期将直接决定波动性价值的水平；波动率的波动是波动性期权的次要影响因素，主要反映投资者对波动性价值可能存在的风险的认识；此外，波动性价值与波动率的均值回复速度、波动率过程与价格过程的相关程度正相关．当波动率过程与价格过程相互独立时达到最小值。

英文摘要：

Based on the analysis of stocks＇ price behavior, the paper values the existence of stocks＇ volatility premium regarded as an American style option and simulates the distribution characteristic of it with the nonparametric Monte Carlo simulation on the condition of an unchanged intrinsic value and stochastic volatility, that is, the volatility premium is influenced by factors including expected volatility rate, volatility rate of volatility, the speed of mean-reverting of volatility and the degree of the correlation between volatility process and price process. The conclusion is that, firstly, the expected mean volatility rate is the key factor of volatility premium, there exists positive correlation between them, which means that investors＇ expected mean volatility will determine the level of volatility premium ; secondly, there is positive correlation between volatility premium and the volatility rate of volatility, which mainly shows the possible risk of volatility premium under certain expected mean volatility level ; thirdly, there is positive correlation between volatility premium and the speed of mean-reverting of volatility; fourthly, when the volatility process and price process are completely independent, the volatility premium gets the minimum value at the similar condition.