股权分置改革中的公司认股证定价探讨——以长电权证定价为例

由于公司认股证期末需要通过发行新股以应对权证持有人行权要求,故不能直接套用Black-Scholes公式.长电权证作为首只公司认股证,目前部分研究机构对其定价过程中的问题存在一定认识误区.本文将理清认股证定价模型原理,并针对长电权证的实际情况修正公司认股证模型,运用MC模拟的方法加以验证并提出考虑红利时的处理方法.

On Warrant Pricing For Companies Undergoing Non-tradable Share Reform

Black-Scholes model does not fit into companies issuing warrants as new share offering is required to meet rights exercise before the expiration date. Some research institutions misunderstand the pricing procedure of CYPC warrants. This paper clarifies warrant pricing mechanism and revises the warrant model based on CYPC experience. This model is tested with MC simulated method, which puts dividend distribution into account in designing an appropriate model.