一类创新型权证的数学模型

Mathematical Model of an Innovative Warrant

摘要:

为了解决中国证券市场股权分置这一体制性矛盾,一些上市公司推出了派发创新型权证的股改方案,该创新型权证将股票与权证相捆绑,从而不能假定股票收益呈现几何布朗运动.为了对该创新型权证定价,利用研究信用风险的结构化方法,以公司资产作为基本变量,对有担保与无担保的情况分别计算出该创新型权证的定价公式,对不同市场变量对于创新型权证价格的影响作了理论和数值分析.

Abstract:

In order to solve the contradiction of the nontradable share in China’s securities market,some listed companies issue an innovative warrant to compensate the tradable share holders.This innovative warrant is tied up with the stock,as a result,the return of the stock can not be assumed to present a geometry Brownian motion.To price the innovative warrant,the structural approach is adopted and the assets of the firm is regarded as the basic variable,the pricing formulas are obtained for the innovative warrant in both the cases with or without insurance.Theoretical and numerical analysis are made of the impact of different market variables on the price of the innovative warrant.