附认股权证可分离交易债定价探讨

A Discussion on the Warrant Bond Pricing

附认股权证可分离交易债是我国证券市场新近推出的一种创新型金融品种,本文在Black Scholes期权定价模型基础上对其进行扩展并形成Black Scholes股本摊薄期权定价模型,首次将这一定价模型应用到深圳证券交易所2006年12月12日发行的第一只附认股权证可分离交易债新钢钒附认股权证的理论定价上。本文检验了其理论价值与实际价格的吻合程度,对创新金融产品分离型可转债的定价进行了一定的探索,对解决分离债流动性不足以及认购权证过度投机提出了适当的政策建议。

Warrant Bond is an innovative financing vehicle to Chinese equity market. It is well received by the market. This paper then analyzes the pricing of Warrant Bond through empirical viewpoint. We use Balck-Scholes options pricing model to price the option component. We extend the Black-Scholes model to the Black-Scholes diluted option pricing model. We make the innovation to price call options by using the embedded volatility of similar call options in the market, instead of the historical stock volatility. We examine the diversion between theory value and the real value of Gangfan Warrant Bond. We explore the pricing of Warrant Bond. The result can be used as reference for issuing and investing Warrant Bond.