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本文通过引入股息期货合约这一概念,得出考虑了非连续不确定时间股息的欧式权证定价模型,并结合我国市场上通行的权证行权价格修正条款,研究出适合我国市场权证的、考虑非连续不确定时间股息和可修正执行价格的欧式权证定价模型。并以阿胶EJC1为例进行了实证研究,研究表明新的模型较经典的Black-Scholes模型能更优地对中国权证进行定价。研究还表明:权证的“行权价格修正条款”并不能完全消除股息发放对权证价值的影响,权证价值仍然因为股息发放而减少。
In this paper, by introducing the concept of dividend futures contracts, we get the pricing model of European-style warrants considering the non-continuous and indefinite-time dividend, combined with the amendment of the warrants exercise price in the market, European Warrants Pricing Model with Continuous Uncertain Time Dividend and Fixed Executable Price. The empirical research on Ejiao EJC1 is carried out. The results show that the new model can better price Chinese warrants than the classic Black-Scholes model. The study also shows that: Warrants “exercise price amendment ” does not completely eliminate the dividend payment on the value of warrants, warrants value is still reduced because of dividend payment.