认股权证定价实证研究

The Empirical Study of Pricing Warrant

认股权证在性质上也是一种期权,但并不是一种单纯的期权,其定价要比普通期权复杂。本文首先分析了影响认股权证价格的因素,并在一系列假设条件下,利用Black-Scholes公式,推导出认股权证定价公式;其次,采用了我国宝钢股票及其发行的认股权证的收盘价格资料,计算了公司权益的波动率,利用已推导的公式对认股权证理论进行了实证分析;最后同其实际市场价格进行了比较,为认股权证的投资决策提供了参考依据。

Although warrant is a kind of option in nature, it is not a pure option. The pricing factors are more complicated than a general option. In this paper, the factors affecting the value of the warrant are analyzed and the model of pricing warrants is inferred from the model of Black-Schole in some presumptions. Last, the volatility of equity is obtained by using close prices of stocks and warrants from the Baosteel. As a result, the value in theory is analyzed by the model that has been inferred. The comparison between the value in theory and the market price provides reference for making decisions.