基于B-S公式的欧式股本权证多因素定价模型  

Multi-factors pricing model of European equity warrants based on B-S Formula

作　　者：杨立洪[1] 徐黄玮[1] 刘广[2] 

机构地区：[1]华南理工大学数学科学学院,广东广州510640 [2]华南理工大学经济贸易学院,广东广州510006

出　　处：《系统工程学报》2009年第1期74-78,共5页Journal of Systems Engineering

基　　金：广东省科技厅软科学研究资助项目(2008B070800012)

摘　　要：综合分析了保底条款、股本摊薄、交易费用和除权除息四个重要因素对股本权证价值的影响.在B-S公式框架下,采用递进方式建立了具有这四个因素影响的欧式股本权证定价模型,实证分析表明该模型较B-S模型更好地反映了股本权证的特性.Minimum guarantee provision, dilution of equity, transaction expense, bonus and dividend distribution are four important factors of equity warrants. The effects of these four factors on the value of equity warrants are comprehensively studied. Under the structure of B-S Formula, an European equity warrant pricing model with these four factors is progressively presented. Empirical analysis shows that this model reflects the characteristics of equity warrants better than the B-S model.

关 键 词：股本权证 定价模型 B-S公式 多因子分析 

分 类 号：F830.9[经济管理—金融学]