基于双币种认股权证定价和融资发行的研究

发布时间：2018-04-22 12:13

本文选题：期权定价 + 双币种认股权证　；参考：《中南大学》2012年硕士论文

【摘要】：发达国家证券交易品种丰富,证券定价机制遵从市场规则,证券市场既受投融资公司的青睐,又是家庭投资理财的首选。国内证券市场已经实践多年,对比发达国家,无论是证券品种还是定价机制都存在相对不足,特别是认股权证的定价和发行过程存在的问题更多。本文采用随机过程、数理统计、鞅和蒙特卡洛方法,从定性和定量两个方面,研究了双币种认股权证数学模型及定价发行过程。本文综合分析了国内外学者对股票模型和定价方面的研究成果,立足国际金融市场,分离散和连续两种情形,从汇率变化对证券交易结算的影响出发,研究汇率模型,并以此为基础研究双币种认股权证的数学模型及定价问题。在研究中,以风险中性市场为假设,把鞅方法应用于双币种认股权证的定价过程,以发行融资为目的的双币种认股权证为例,对双币种认股权证的定价及发行过程进行研究,并对上市公司融资提出发行建议。利用2011年10月前香港证券交易所数据,实证分析认股权证的人民币结算价格,结果发现实际价格与在汇率随机模拟情况下双币种认股权证的理论定价保持统计上的-致。本文有两个创新点：其一是结合股票模型的研究成果,用指数布朗运动模拟汇率变化,并对汇率模型加以应用；其二是建立双币种认股权证的数学模型,着重研究双币种认股权证的定价和发行的问题。
[Abstract]:Developed countries are rich in securities trading, the securities pricing mechanism follows the market rules, the securities market is not only favored by investment and financing companies, but also the first choice of family investment and financial management. The domestic securities market has been practiced for many years. Compared with developed countries, there are relative deficiencies in both the variety and pricing mechanism of securities, especially in the pricing and issuing process of warrants. Using stochastic process, mathematical statistics, martingale and Monte Carlo method, this paper studies the mathematical model and pricing process of dual currency warrants from qualitative and quantitative aspects. This paper synthetically analyzes the research results of stock model and pricing at home and abroad. Based on the international financial market, the paper studies the exchange rate model from the perspective of the influence of exchange rate change on securities trading settlement. On this basis, the mathematical model and pricing of dual currency warrants are studied. In the research, taking the risk-neutral market as the hypothesis, the martingale method is applied to the pricing process of the dual-currency warrants, and the dual-currency warrants for the purpose of financing is taken as an example to study the pricing and issuing process of the dual-currency warrants. And to the listed company financing puts forward the issue proposal. Based on the data of Hong Kong Stock Exchange before October 2011, this paper empirically analyzes the RMB settlement price of warrants. The results show that the actual price is statistically related to the theoretical pricing of dual-currency warrants under the stochastic simulation of exchange rate. There are two innovations in this paper: one is to use the exponential Brownian motion to simulate the exchange rate change and apply it to the exchange rate model, the other is to establish the mathematical model of dual currency warrants. This paper focuses on the pricing and issuance of dual currency warrants.
【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F830.91

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