股权分置改革中的认股权证定价问题研究

在我国的股权分置改革中认股权证也作为一种对价支付手段,而目前对认股权证的定价大多是简单地套用B-S模型。将我国证券市场上现有的认股权证分为欧式备兑认购权证、欧式认沽权证、欧式股本认购权证和美式认沽权证四类,根据不同类型分别采用相应的定价模型,并对含有认股权证对价方案上市公司非流通股股东给流通股股东的补偿度进行了测定。

Research on the Pricing of Warrants in the Share Splitting Reform

As a means of paying the price,warrants are introduced into the share splitting reform in our country.But at present,only BlackScholes model is applied in the warrants pricing briefly.For this reason,this paper divides the warrants in our country security market into four kinds systematically: European covered warrant,European put option warrant,European equity warrant and American put option warrant.Then we adopt the homologous model to price every kind of warrants,and determine the compensation degree in the share splitting reform.