关于权证定价修正模型的比较研究——基于交易成本和股息分红因素的分析框架  

Comparative Study of Warrant Pricing Biases Correction Models

作　　者：潘涛[1] 邢铁英[2] 

机构地区：[1]北京大学经济学院博士后流动站,北京100871 [2]武汉大学商学院,湖北武汉430072

出　　处：《证券市场导报》2007年第8期42-49,共8页Securities Market Herald

摘　　要：在我国股权分置改革中,权证推动了证券市场的金融创新。鉴于权证定价可以借鉴期权理论,国外B-S模型对我国权证市场的创新和风险管理具有一定的参考意义。本文采用B-S定价模型定价宝钢认购权证和长电认购权证,分别从交易成本和股息分红的角度进行了相应的模型调整,以改进、完善适应我国权证市场的定价方法。Issuance of warrants is a financial innovation to address the reference to need of full-listing reform. Given the pricing option, the B-S model is believed to be of positive implication to the innovation and risk management of China warrants market. It is thus applied to the pricing of call option of Baogang and Changdian for a model correction in trading cost and dividend distribution, in a view of improving the pricing method of China warrant market

关 键 词：B—S模型 权证定价模型 资产定价 

分 类 号：F830.9[经济管理—金融学]