基于B-S公式的欧式股本权证多因素定价模型

Multi-factors pricing model of European equity warrants based on B-S Formula

综合分析了保底条款、股本摊薄、交易费用和除权除息四个重要因素对股本权证价值的影响.在B-S公式框架下,采用递进方式建立了具有这四个因素影响的欧式股本权证定价模型,实证分析表明该模型较B-S模型更好地反映了股本权证的特性.

Minimum guarantee provision, dilution of equity, transaction expense, bonus and dividend distribution are four important factors of equity warrants. The effects of these four factors on the value of equity warrants are comprehensively studied. Under the structure of B-S Formula, an European equity warrant pricing model with these four factors is progressively presented. Empirical analysis shows that this model reflects the characteristics of equity warrants better than the B-S model.