【作者】 王晓勤；

【导师】 傅强；

【作者基本信息】 重庆大学 ， 应用数学， 2008， 硕士

【摘要】 认股权证作为基本的金融衍生产品,非常受投资者的欢迎。发行认股权证意味着执行认股权证时要发行新股,而发行新股就会导致对股票价格的稀释效应,因此,认股权证定价与股票期权有差异。随着市场的发展和完善,许多上市公司在同一时期内发行了大量不同到期日的认股权证。但发行多种认股权证所产生的稀释效应相对发行单一认股权证复杂。由于公司同时发行多种认股权证时,不同认股权证对原有股票造成的稀释效应不同,并且大于只发行单一认股权证时对原有股票的稀释效应,如果直接采用传统认股权证定价公式对其定价,将会产生较大误差。因此基于同一主体的多种认股权证的定价问题不容忽视。本文在探讨传统认股权证定价理论的基础上,分析了传统认股权证定价理论运用于基于同一主体多种认股权证的不足之处。借鉴国内外发行单一认股权证的研究方法,在风险中性条件下通过考虑不同到期日,认股权证执行对标的股票产生的不同稀释效应,在传统Black-Scholes定价模型的基础上,利用鞅方法,得到一个较为适合基于同一主体的多种认股权证的定价公式。此模型可以避免传统随机微分方程中偏微分方程的繁琐求解过程及无封闭解的情况,方法简明易于操作,对认股权证定价理论的发展具有重要意义。认股权证的发行需要对稀释效应与避险参数作细致的测算,三个定价模型的比较对此类测算是十分有益的。为了说明基于同一主体多种认股权证定价公式的优越性,本文分别从稀释因子和避险参数两方面比较了KBS公式,GBS公式以及B-S公式。结论表明:当公司发行的认股权证数量较大,种类较多以及有效期较长,或者认股权证处于虚值状态时,基于同一主体的多种认股权证定价模型就显示出了较大的优越性。KBS模型下的Delta值相对其他模型较小,在运用避险参数对冲风险时,基于同一主体的多种认股权证定价模型较其他定价模型更准确。更多还原

【Abstract】 As one of the basic financial derivatives, warrants are popular with investors. Stock purchase warrants result in news shares being issued when they are exercised. The issue of new shares would lead to price dilution which makes warrants pricing different from call option pricing in some ways. With the development and perfect of market, a lot of listed corporations simultaneously issue multiple series of warrants with different expiry. And the dilution effect in case of multiple warrants is intricate. When a corporation simultaneously issues multiple warrants, those warrants with different expiry will bring different dilution effects for the share. Meanwhile, dilution effects owing to multiple warrants are stronger than those produced by single warrant. Under these conditions, larger pricing errors will be caused if we directly price them with traditional warrants pricing model. For above reasons, we should pay more attentions to the multiple warrants pricing model based on the same body.On the base of traditional warrants pricing model, this paper analyzed shortcomings when applying the existing models to the theoretical warrant prices which are issued simultaneously by the same company. By combining the research methods for the single warrants home and abroad and considering different dilution effects for the shares with different expiry, this study presented the appropriate pricing formula for multiple warrants utilizing the martingale method and being based on the Black-Scholes pricing model, in the condition of risk-neutral. This model avoids the complicated solving process and the situation of no closed form solution of the partial differential equation in traditional stochastic differential equation. It will benefit the warranting pricing theory. The comparison among the three models is beneficial for meticulous calculation of dilution factor and hedge parameter when issuing warrants. In order to show the advantages of multiple warrants pricing model, this paper compared the KBS model to the GBE and BS models from two aspects this is, dilutions factors and hedge parameters respectively. The result showed that pricing errors arisen from GBE and BS models will be higher when having the higher potential dilution, the longer expiry and being out of money, therefore the multiple warrants pricing model demonstrates much more advantages. Because the value of hedge parameter Delta in KBS pricing model is relatively smaller, the multiple warrants pricing model based on the same body is more accurate than other single warrant models when using hedge parameters to avoid risks.更多还原