非连续不确定时间股息和可修正执行价格的权证定价研究

摘要

We deduce the European warrant pricing formula with discontinuous uncertain dividend（DUD Model） by the concept of dividend future contract.And then,considering the＂adjustable exercise price clause＂ of warrants＇ in China market,we obtain the European warrant pricing model with discontinuous uncertain dividend and adjustable exercise price（DUD-AE Model）.Via the empirical study,we confirm that DUD-AE Model performs better than original Black-Scholes model.Besides,we find that the effect of the dividend can not be eliminated by the＂Adjustable Exercise Price＂ clause,and the warrants value still decrease to some extent by the dividend paying.%本文通过引入股息期货合约这一概念,得出考虑了非连续不确定时间股息的欧式权证定价模型,并结合我国市场上通行的权证行权价格修正条款,研究出适合我国市场权证的、考虑非连续不确定时间股息和可修正执行价格的欧式权证定价模型。并以阿胶EJC1为例进行了实证研究,研究表明新的模型较经典的Black-Scholes模型能更优地对中国权证进行定价。研究还表明：权证的＂行权价格修正条款＂并不能完全消除股息发放对权证价值的影响,权证价值仍然因为股息发放而减少。