基于复合期权的创业板上市公司IPO定价研究

Study on IPO Pricing of Second Board-company Based on Compound Option

指出传统IPO定价方法用于具有高风险、高成长性等特征的高新技术企业IPO定价的缺陷,将实物期权概念引入IPO定价研究中。根据高新技术企业项目投资的特征,引入复合期权建立相应的数学模型,采用复合期权方法建立高新技术企业的IPO定价模型。最后,通过算例分析说明该模型在实践运用中具有一定的借鉴意义。

This paper points out the defects of traditional IPO pricing method for IPO pricing of high-tech corporations with high-risk and high-growth,and introduces real option into the research on IPO pricing.According to the characteristics of project investment of high-tech corporations,it introduces compound option to construct a IPO pricing model for high-tech corporations.Finally,a numerical example shows the use of this model in practice.