考虑风险转移效应的股本权证定价模型  

Equity Warrant Pricing Model under Considering Risk-shifting Effect

作　　者：张建锋[1] 扈文秀[1] 

机构地区：[1]西安理工大学经济与管理学院,陕西西安710054

出　　处：《系统工程》2011年第12期7-12,共6页Systems Engineering

基　　金：国家自然科学基金资助项目(70973096);教育部博士点基金资助项目(20096118110010)

摘　　要：构建股本权证标的股票波动率模型,并在CEV模型的基础上给出了测度风险转移效应的最优弹性参数公式。结合非中心卡方分布期权定价公式,构建了同时考虑稀释效应与风险转移效应的股本权证定价模型。该模型能够克服传统权证定价模型中基于股本定价存在不可观测变量的不足,并有效降低定价偏差。数值模拟结果表明,本文所构建模型较BS和SRCEV模型具有较小的相对与绝对定价偏差。A stock volatility model based on equity warrant is proposed.Based on CEV model,we construct an optimal elasticity formula able to measure risk-shifting effect.According to the option pricing formula with non-central chi-squared distribution,we propose the equity warrant pricing model under considering dilution-effect and risk-shifting effect.The model is able to overcome the fault that traditional equity warrant pricing models can＇t get observable variables,and decrease the pricing bias.According to the result of numerical simulation,the proposing model outperforms the BS and SRCEV model by analyzing the relative and the absolute pricing errors.

关 键 词：股本权证 定价模型 风险转移效应 波动率 

分 类 号：F830[经济管理—金融学]