公司权益价值波动率下股本权证的定价方法  

Pricing method of equity warrants based on firm-value variance

作　　者：孙琳[1] 

机构地区：[1]广东工业大学应用数学学院,广东广州510090

出　　处：《南昌大学学报（理科版）》2012年第4期330-335,共6页Journal of Nanchang University(Natural Science)

基　　金：中央高校业务经费项目(2012ZM0029);广东省自然科学基金博士启动项目(S2011040005723)

摘　　要：传统的股本权证定价模型一般基于公司股票波动率或公司权益价值波动率进行研究。讨论了根据公司权益价值波动率所求得的权证定价模型的一些性质,比较了分别根据公司权益价值波动率和股票价值波动率计算权证价值所得的误差。针对长电权证的实际情况进行实证分析,通过比较传统定价模型与本文的考虑保底摊薄模型定价的结果说明采用公司权益价值波动率所得定价模型的准确性。Traditional pricing models of equity warrants are based on either stock return variance or firm-value variance.This paper discussed some properties of the warrant pricing model based on firm-value variance.The comparison of the pricing models based on stock return variance or firm-value variance was presented.We also provided the empirical analysis of Changdian warrant,and found that the warrants pricing formula based on firm-value variance was more accuracy than traditional pricing models from the empirical results.

关 键 词：股本权证 定价模型 股票价值波动率 公司权益价值波动率 

分 类 号：F830.9[经济管理—金融学]