摘要
认股权证本质上是一种期权,但它不是一种单纯的期权,它的定价因素比普通的期权复杂.通常在认股权证的发行过程中会有很多条款,从而衍生出更复杂的定价方法.在期权定价公式的基础上,根据认股权证的一些性质,推导出了以增发形式发行认股权证的定价方法,主要考虑了在增发形式下,认股权证的执行会稀释原有股份.所得公式是一种标准形式下的定价公式,不附任何特殊条款.
Although warrants are a kind of option in nature, yet not a pure option, the factor effecting its pricing is more complicated than a general option. Generally speaking, there are many special provisions in the issuing of warrants. such as the expansion of expiry date, so their pricing is very complex. The modeling of pricing warrants in new shares issuing is stemmed from the model of option pricing and the characters of warrants. Main consideration is that the exercise of warrants in new shares issuing can dilute the old shares. The pricing model is a standard formula, not including any special provisions.
出处
《华北水利水电学院学报》
2005年第2期75-77,共3页
North China Institute of Water Conservancy and Hydroelectric Power
关键词
认股权证
期权
增发
股本稀释
warrant
option
new issuing
dilution of shares
