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中文摘要：
考虑了标的资产服从GARCH扩散模型下的权证定价问题。首先，基于有效重要性抽样（EIS）技巧，给出了GARCH扩散模型的极大似然（ML）估计方法；然后，以上证和深证综合指数数据为例，利用EIS-ML方法估计了GARCH扩散模型，表明了EIS-ML估计方法的有效性；最后，给出了基于恒生指数权证的实证研究。结果表明：GARCH扩散权证定价模型比经典的Black-Scholes（B-S）模型具有更高的定价精确性。
英文摘要：
In this paper, we consider the issue of warrant pricing when the underlying asset follows the GARCH diffusion model. Firstly, we develop a method for maximum likelihood （ML） estimation of the GARCH diffusion model based on the efficient importance sampling （EIS） technique. Then, taking SSE and SZSE composite indices in Chinese stock market as an example, we apply the EIS-ML method to estimate the parameters of the GARCH diffusion model, and we find that the EIS-ML method is efficient. Finally, an empirical study of Hang Seng Index warrants is presented. Empirical results show that the GARCH diffusion warrant pricing model is more accurate than the classical Black-Scholes （B-S） model.
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