一类竞争性实施百慕大股本权证实施策略

发布时间：2018-05-29 14:28

本文选题：百慕大式权证 + 公司债券　；参考：《苏州大学》2014年硕士论文

【摘要】：股本权证通常由上市公司自行发行,也可以通过券商、投行等金融机构发行,标的资产通常为上市公司或其子公司的股票。股本权证通常给予权证持有人在约定时间以约定价格购买上市公司新发行股票的权利。发行权证时通常伴随普通债券的发行,权证的定价模型中应考虑债券的影响。债券的价值依赖于权证的实施量,进而影响资产结构,造成财富在股权持有者与债券持有者之间的转移。本文研究公司在发行债券及不发行债券两种情形下,三个实施时点的百慕大式股本权证的定价和最优实施策略。本文假设权证被相互竞争的两大基金公司持有,建立了一个权证定价模型,并证明了权证的实施策略是非整体实施,即基金公司并非一次性实施其持有的全部权证。同时,本文也证明了,即使公司不发行债券,只要有银行存款,权证的实施策略也是非整体实施。本文
[Abstract]:Equity warrants are usually issued by listed companies themselves and may also be issued by securities firms , investment banks and other financial institutions . The underlying assets are usually the shares of listed companies or their subsidiaries . The equity warrants usually give the holder the right to purchase new shares of a listed company at an agreed price at the agreed time . The value of the bonds is usually accompanied by the issuance of ordinary bonds . The value of the bonds depends on the implementation of the warrants , which in turn affects the asset structure , resulting in the transfer of wealth between the equity holders and the bond holders .

In this paper , we study the pricing and optimal implementation strategy of Bermuda ' s equity warrants at three implementation time points in the case of issuing bonds and non - issue bonds . This paper assumes that warrants are held by two large fund companies that compete with each other , establish a warrant pricing model , and prove that the implementation strategy of warrants is non - unitary . In the meantime , the paper also proves that even if the company does not issue bonds , the enforcement strategy of warrants is non - integral .
【学位授予单位】：苏州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

【共引文献】