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构建股本权证标的股票波动率模型,并在CEV模型的基础上给出了测度风险转移效应的最优弹性参数公式。结合非中心卡方分布期权定价公式,构建了同时考虑稀释效应与风险转移效应的股本权证定价模型。该模型能够克服传统权证定价模型中基于股本定价存在不可观测变量的不足,并有效降低定价偏差。数值模拟结果表明,本文所构建模型较BS和SRCEV模型具有较小的相对与绝对定价偏差。
The stock volatility model of the target stock of warrants is constructed. Based on the CEV model, the optimal elastic parameter formula for measuring the risk transfer effect is given. Combined with the non-central chi-square option pricing formula, we construct a pricing model of equity warrants considering both the dilution effect and the risk transfer effect. The model can overcome the insufficiency of unobservable variables based on the pricing of the shares in the traditional warrant pricing model and effectively reduce the pricing bias. The numerical simulation results show that the proposed model has a smaller relative and absolute pricing bias than the BS and SRCEV models.