基于GARCH模型考虑股本稀释作用的权证定价

Call Warrants Valuation Considering Equity Dilution Effect Based on GARCH Model

考虑到认购权证对股本有稀释作用,把对认购权证定价转化为一个看涨期权的定价,运用GARCH模型得出看涨期权标的资产波动率的近似经验分布,根据期权定价的Black-Scholes公式,得出认购权证价格的近似分布.

Considering that call warrant can dilute equtiy capital,we transform call warrant valuation to call option valuation,use GARCH model to get the empirical distribution of the call option's underlying asset volatilities,then show the approximate distribution of the call warrant's price according to the Black-Scholes pricing formulas.