对“认股权证”理论价值修正的实证分析

Empirical Analysis of the Theory Price Revision of Warrant and Call Option

认股权证在许多方面既类似于又不同于看涨期权。影响其价值的因素比普通的期权复杂。本文应用连续时间金融中的经典模型——公司资本定价模型,从公司价值的角度出发,同时考虑股本稀释与现金流流入效应,对认股权证的理论价值进行分析,并以宝钢G股欧式认服权证为例做实证分析。

Warrant and call option have many aspects in common. But there are still many difference between them. The elements which influence the value of warrant are more complicated than normal option.The article applies capital pricing model which is the classical model in continuous-time finance to analyze the theory price of warrant.It considers the effects of shares dilution and cash inflow and analyzes the price from the company varlue angle.More over,the article makes empirical analyses about＂BAO Steel Company＂warrant.