2002쓪6퓂뗚ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡJun.,200216뻭뗚3웚ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ뮪ꆡ뚫ꆡ뺭ꆡ볃ꆡ맜ꆡ샭,죏막좨횤뗄뚨볛틲쯘췵횾돏1,뫎쫷뫬2(11놱뺩듳톧ꆡ맢뮪맜샭톧풺ꆡ닆컱폫뷰죚쾵,놱뺩ꆡ100871;21퓆쓏듳톧ꆡ쫽톧쾵,퓆쓏ꆡ삥쏷ꆡ650091)[햪튪]놾컄뷩짜쇋죏막좨횤폫웕춨싲죫웚좨뗄닮틬,럖컶죏막좨횤뗄훷튪릦쓜;춨맽뛔펰쿬죏막좨횤볛룱뗄쇹룶틲쯘뷸탐쳖싛,ퟮ뫳뛔죏막좨횤뗄벸훖뚨볛랽램뷸탐쳖싛뫍뇈뷏ꆣ[맘볼듊]죏막좨횤;싲죫웚좨;쾡쫍킧펦[훐춼럖샠뫅]F830ꆡꆡꆡ[컄쿗뇪쪶싫]Aꆡꆡꆡ[컄헂뇠뫅]1007ꆪ5097(2002)03ꆪ0118ꆪ04ThepricingfactorsofwarrantsWANGZhi2cheng1,HEShu2hong2(11DepartmentofFinance,GuanghuaCollegeofManagement,BeijingUniversity,Beijing1000871,China21DepartmentofMath,YunhanUniversity,Kunming650091,China)Abstract:,:warrants;calloptions;dilutioneffect.ꆡꆡ죏막좨횤쫇튻샠쳘쫢뗄웚좨,쳡떽웚좨죋쏇ퟔ좻쿫떽쇋맜샭죋닅뫍벼쫵맇룉,뇜쏢뛔룟벶맜샭죋풱횧뢶뷏룟뗄킽웚좨뚨볛릫쪽ꆣ죏막좨횤ퟷ캪튻훖닺,쯼뗄뚨볛쫇튻룶뫋뷰,복짙맜샭돉놾;뛸쟒쯦ퟅ죏막좨횤뗄횴탐,릫쮾뗄놾탄뗄컊쳢ꆣ뛔폚퓚쫐뎡훐붻틗뗄죏막좨횤,쯼뗄볛횵쫇웤붻뷰믡쿠펦퓶볓,헢튻뗣뛔탂탋뗄돉뎤탍릫쮾폈캪훘튪ꆣ쪹폃틗뗄룹놾:춶헟횻폐퓚헽좷뚨볛뗄믹뒡짏닅쓜ퟷ돶헽좷뗄죏막좨횤뮹쓜웰떽컈뚨풱릤뛓컩뗄ퟷ폃ꆣ죏막좨횤뗄랢탐쳵싲싴뻶닟ꆣ뛔폚풱릤돖막볆뮮훐뗄죏막좨횤,듓릫쮾뗄뷇뛈뿮훐춨뎣뚼믡뛔풱릤쳡잰샫뾪릫쮾뫳뗄탐좨뷸탐쿞훆믲좡살뾴,쯼쫇릫쮾룸폨풱릤뗄튻훖붱샸믲쫕죫뗄튻늿럖,횻폐쿻,퓶볓죋풱뗄쇷뚯돉놾,쫕떽컈뚨맜샭죋닅뫍벼쫵맇룉ퟷ뫏샭뗘뛔웤뷸탐뚨볛닅쓜쪹뗃릫쮾뗄볆뮮뫍맜샭퓚풤뚨뗄쒿폃ꆣ뇪쓚퓋탐ꆣ듓풱릤뗄뷇뛈살쮵,쯼쫇풱릤퓚릫쮾훐쯹뗃놨돪퓚쿖듺뗄릫쮾퓋ퟷ훐,릫쮾볤뗄릺늢죕쟷욵랱,쫕릺폫뗄튻룶랽쏦ꆣ랴쫕릺틑돉캪릫쮾닆컱퓋ퟷ뗄튻룶훘튪랽쏦ꆣ떱릫쮾쏦쇙놻튻ꆢ죏막좨횤뗄릦쓜쫕릺뗄캣쿕쪱,죏막좨횤뮹뿉틔ퟷ캪랴쫕릺뗄릤뻟ꆣ춨맽랢죏막좨횤폐쪱믡놻릫쮾ퟷ캪튻훖횤좯뛸떥뛀랢탐,떫죏탐듳솿뷏뗍횴탐볛룱뗄죏막좨횤,떱뛔쫖쫕릺떽튻뚨뗄쫽솿막좨횤폐쪱튲놻폃퓚햮좯ꆢ폅쿈막뫍탂막랢탐쪱ퟷ캪컼틽춶뫳뇘좻믡퓬돉쫐뎡볛룱뗄엊짽,듋쪱듳솿죏막좨횤뗄횴탐붫헟뗄뢽볓횤좯ꆣ춨맽뢽볓죏막좨횤,릫쮾뿉틔퓚랢탐뫏춬믡쪹뛔쫖뗄쫕릺돉놾듳듳쳡룟,쪹웤쓑틔뷸탐뛸탻룦쫕릺쪧짏룸폨룼뗍뗄햮좯뢶쾢,뷏뗍뗄폅쿈막뫬샻횧뢶뫍퓶볓탂막냜ꆣ틲듋,죏막좨횤놻돆캪쫇릺늢쫐뎡짏뗄ꆰ뚨쪱햨떯ꆱꆣ랢탐뗄죚쫽솿ꆣ헢튻뗣뛔탂탋릫쮾폈웤훘튪,평폚횪쏻뛈뛾ꆢ죏막좨횤뗄볛룱펰쿬틲쯘뗍,탅폃뗈벶튲뗍쪹웤햮좯돯뗄돉놾췹췹뫜룟,춨맽엤쯍펰쿬죏막좨횤볛룱뗄틲쯘폐쇹룶랽쏦:횴탐볛룱ꆢ막욱죏막좨횤뿉틔붵뗍죚돉놾ꆣ퓚쪵볊뗄쫐뎡붻틗훐죏막좨횤볛룱ꆢ컞럧쿕샻싊ꆢ릫쮾좨틦뗄늨뚯싊ꆢ쾡쫍킧펦뫍뻠샫떽춨뎣폖뿉틔폫풭쪼뗄횤좯냾샫뾪살,떥뛀뷸탐붻틗ꆣ떫풱릤웚죕뗄쪱볤뎤뛈ꆣ뗄죏막좨횤춨뎣쫇늻뿉붻틗뗄ꆣ횴탐볛룱뫍막욱볛룱뛔죏막좨횤뗄볛룱펰쿬쫇쿔뛸틗볻풱릤뗄죏막좨횤ퟷ캪벤샸듫쪩믲붱샸볆뮮훐뗄튻룶늿뗄,쯼쏇뛔죏막좨횤뗄볛룱펰쿬헽뫃쿠랴ꆣ떱웤쯻쳵볾늻뇤럖,뿉틔냑풱릤뗄샻틦폫릫쮾뗄돉뎤쿠뷡뫏,쳘뇰쫇뛔룟벶쪱,횴탐볛룱풽뗍죏막좨횤뗄볛룱풽룟,뛸뇪뗄막욱뗄볛룱맜샭죋풱,춨맽죏막좨횤뿉틔벫듳뗘룄짆캯췐듺샭맘쾵,벤풽뗍죏막좨횤뗄볛룱좴풽뗍,랴횮틠좻ꆣ랢쯻쏇뗄릤ퟷ죈쟩,폐킧뗘뷢뻶뺭샭죋뎤웚벤샸늻ퟣ뗄컊컞럧쿕샻싊뛔죏막좨횤볛룱뗄펰쿬쫇춨맽뛔뷰돉놾뗄쳢;쇭튻랽쏦,쪹폃죏막좨횤뮹뿉틔틔뗍돉놾늻뛏컼틽룟벶펰쿬뛸쪵쿖뗄,죏막좨횤뗄쪱볤볛횵훷튪뻍쫇춨맽돖폐죏막[쫕룥죕웚]ꆡ2002ꆪ03ꆪ01[ퟷ헟볲뷩]ꆡ췵횾돏(1964ꆪ),쓐,늩쪿,붲쪦,훷튪듓쫂볆솿뷰죚톧퇐뺿;뫎쫷뫬(1961ꆪ),쓐,늩쪿,뷌쫚,훷튪듓쫂뷰죚쫽톧퇐뺿ꆣꆪ118ꆪ
좨횤뛸쪹춶헟뿉틔믱좡뇪뗄막욱볛룱짏짽뗄뫃뒦ꆣ죏막좨듓짏쪽훐컒쏇뿉틔뾴돶죏막좨횤뗄쾡쫍킧펦,죏막좨횤횤퓚믱좡헢튻뫃뒦뗄쪱뫲뻟폐뫜잿뗄룜룋킧펦,폃뫜짙뗄죏뗄쫕틦횻쫇쿠춬뗄막욱싲죋웚좨쫕틦뗄튻늿럖:웤복짙뗄늿막좨횤뷰햼폃뻍뿉틔믱뗃횱뷓돖막쯹탨뷏듳뷰솿춬뗈뗄럖헽뫃뻍쫇죏막좨횤퓬돉뗄퓶랢막욱햼막욱ퟜ쫽뗄냙럖뇈ꆣ뫃뒦ꆣ틲뛸컞럧쿕샻싊풽룟,죏막좨횤뗄볛룱튲풽룟ꆣ뻠샫떽웚죕뗄쪱볤뎤뛈뻶뚨쇋죏막좨횤뗄쪱볤볛횵ꆣ폫릫쮾좨틦뗄늨뚯쪵볊짏뻍쫇죏막좨횤뗄럧쿕ꆣ퓚췪좫쫐춨뎣뗄싲죫웚좨쿠뇈,죏막좨횤뗄폐킧웚춨뎣뚼뇈뷏뎤;듳뎡뗄볙짨횮쿂,튪춶헟좥돐떣뷏룟뗄럧쿕뇘탫튪폐쿠펦뗄뛠쫽캪5ꆫ10쓪횮볤,폐뗄짵훁쫇컞쿞웚뗄ꆣ평듋뛸살,죏럧쿕놨돪,벴룟럧쿕룟쫕틦ꆣ평듋뿉볻,죧맻튻룶릫쮾뗄볛막좨횤훐쯹냼몬뗄쪱볤볛횵뻍뇈뷏듳,뛔죏막좨횤뗄쪱볤볛횵뇤뚯뇈뷏듳,춶헟뿉쓜믱뗃뗄쫕틦튲믡뫜듳,웤죏막좨횵뷸탐돤럖뗄뾼싇튲틲듋뛸쪮럖훘튪ꆣ튻룶폐좤뗄쿖쿳뻍쫇횤뗄볛룱뻍룟ꆣ쿠랴,볙죧튻룶릫쮾뗄볛횵뇤뚯뫜킡짵훁늻퓚쪵볊훐,풱릤뗄죏막좨횤춨뎣믡쳡잰횴탐,폐뗄짵훁쳡잰뇤,퓲춶헟돖폐죏막좨횤쯹쓜뗃떽뗄쫕틦훷튪튲뻍살풴폚쫽쓪ꆣ평폚쳡잰횴탐뛸퓬돉뗄쫕틦쯰쪧폫폃B1ack-Scholes웤쪱볤볛횵;춶헟쎻폐뛠짙럧쿕뿉돐떣,튲뻍뫜쓑뗃떽뇪쒣탍룸돶뗄풤웚쿠닮ퟮ뛠뗄뿉틔듯떽붫뷼튻냫ꆣ퓚뾼싇풱릤뗄막욱볛룱뇤뮯뿉쓜듸살뗄뫃뒦ꆣ퓚듋탨튪힢틢떽튻룶쫂죏막좨횤뗄벤샸ퟷ폃쪱,튪돤럖죏쪶떽쳡잰횴탐쫇럇뎣웕뇩쪵,춨뎣뗄Black-Scholes웚좨뚨볛릫쪽훐쯹쪹폃뗄늨뚯싊뗄ꆣ죧맻랢짺쇋뇈뷏퓧뗄횴탐,튻룶쪮쓪폐킧웚뗄죏막좨횤쫇횸뇪뗄닺볛룱뇤뮯뗄늨뚯싊ꆣ퓚뛔죏막좨횤뷸탐뚨볛쪱뿉쓜뻍횻폐컥쓪짵훁룼뛌뗄ퟷ폃ꆣ쳡잰횴탐훷튪폫쿂쏦벸룶쯹튪쪹폃뗄쫇랢탐릫쮾ퟔ짭볛횵뇤뮯뗄늨뚯싊ꆣ랢탐릫쮾ퟔ랽쏦뗄틲쯘폐맘:뷼웚뗄볛룱뇤뮯ꆢ쫐뎡볛룱폫횴탐볛룱뗄짭뗄볛횵평웤좨틦뫍햮컱ퟩ돉,퓚볙뚨MMP뚨샭돉솢뗄쳵뇈싊ꆢ쫐뎡뗄늨뚯싊ꆢ풱릤퓚릫쮾훐쯹뒦뗄횰캻ꆢ랢럅볆볾횮쿂,릫쮾뗄쫕틦폫웤놾뷡릹컞맘ꆣ캪뒦샭뗄볲뇣,컒뮮ꆢ떽웚쪱볤뗈ꆣ쏇퓚쿂쏦뗄쳖싛훐돽럇쳘뇰짪쏷뚼볙뚨릫쮾쎻폐햮컱,릫쮾튻쿮뛔쏀맺냋볒릫쮾컥췲뛠쏻퓚1980쓪훁1992쓪볤돖뗄닺뚼평좨틦릹돉ꆣ폐죏막좨횤뗄횴탐쟩뿶뗄춳볆솿볻뇭1ꆣ퓚헢냋볒릫쮾훐폐죏막좨횤뗄돖폐헟횻폐떱릫쮾막욱뗄볛횵룟폚죏막좨횤웟볒쫴폚짏쫐릫쮾,잰쏦뗄죽볒쫇듳탍릫쮾,닺쫐횵뎬맽뗄횴탐볛룱쪱,닅믡톡퓱탐쪹죏막좨횤쯹뢳폨뗄좨샻,폃맦100틚쏀풪,뗚쯄볒릫쮾뗄쫐횵퓚10튻100틚쏀풪횮볤,쇭뚨뗄뷏뗍뗄횴탐볛룱좥쿲릫쮾싲죫막욱,좻뫳퓚쫐뎡짏틔뷏췢쯄볒쫐횵킡폚1틚쏀풪;ퟮ뫳튻볒릫쮾쫇럇짏쫐릫쮾ꆣ룟뗄쫐뎡볛룱싴돶막욱,좡헢솽룶볛룱횮볤뗄볛닮ꆣ평폚뇭훐뗄횴탐10%뇭쪾풱릤횴탐죏막좨횤쪱햼웤폐킧웚뗄ꆰ쎻폐쏢럑뗄컧닍ꆱ,죏막좨횤돖폐헟쯹좡뗄볛닮뻍믡뛔릫쪱볤냙럖뇈뗄10%럖캻뗣,웤쯻샠쯆;욽뻹쪱볤뻍쫇쯹폐돖쮾뗄볛횵닺짺펰쿬,웤뷡맻뻍쫇죏막좨횤뗄쾡쫍킧펦ꆣ볙뚨폐죏막좨횤풱릤횴탐쪱햼폐킧웚뎤뛈뗄냙럖뇈,볛횵10%뇭튻룶릫쮾퓚랢탐죏막좨횤횮잰,랢탐퓚췢뗄막욱ퟜ쫽캪N,쪾풱릤횴탐죏막좨횤쪱쯹믱뗃뗄쫕틦햼폃Black-Scholes웚볙뚨떱잰뗄쪱볤쫇t0,막욱볛룱캪P0,릫쮾뗄ퟜ볛횵캪V0=좨뚨볛릫쪽쯹룸돶죏막좨횤볛횵뗄냙럖뇈뗄10%럖캻뗣,욽NP0;랢탐뗄죏막좨횤ퟜ쫽캪M,횴탐볛룱캪P0,쎿튻죏막뻹볛횵뇭쪾릫쮾쯹폐풱릤횴탐죏막좨횤쯹믱뗃뗄욽뻹쫕틦햼좨횤뿉틔죏릺뗄막욱쫽솿캪q막ꆣ캪쳖싛컊쳢뗄볲떥웰볻,폃Black-Scholes웚좨뚨볛릫쪽쯹룸돶죏막좨횤볛횵뗄냙럖컒쏇뷸튻늽볙뚨릫쮾랢탐죏막좨횤늻믡룄뇤릫쮾뗄춶뫍뺭뇈ꆣ펪ힴ뿶,춨맽튻룶쪱웚횮뫳,쯹폐뗄죏막좨횤뚼퓚춬튻쪱뿌듓뇭훐뿉틔뾴돶,풱릤횴탐죏막좨횤뗄쪱볤듳듳뗘쳡잰횴탐ꆣ쇋,평듋뛸퓬돉뗄쯰쪧퓚듳릫쮾훐쫇뇈뷏쏷쿔뗄;E,F,G퓚짏쫶뗄볙뚨횮쿂,퓚횴탐죏막좨횤횮잰뗄t1쪱뿌,막릫쮾뗄볛횵쯰쪧뷏짙쫇평폚헢킩탂탋닺튵뗄룟벼쫵릫쮾퓚짏욱뗄볛룱캪P1,릫쮾뗄ퟜ볛횵캪V1=NP1,볙뚨듋쪱P1>쫐잰랢럅룸춶헟뗄죏막좨횤횴탐볛룱뫜뗍,쪹뗃헢킩릫쮾PW,쯹폐뗄돖폐헟뚼믡횴탐죏막좨횤,릫쮾쫕떽쇋돖폐헟뗄풱릤횴탐죏막좨횤뗄쿠뛔볛횵쯰쪧뇈뷏킡ꆣ탐좨뷉뿮W1=MqPW,쯹틔릫쮾뗄ퟜ볛횵뇤돉쇋V1=NP1+죽ꆢ죏막좨횤뗄뚨볛랽램MqPW,좻뛸듋쪱릫쮾랢탐퓚췢뗄막욱ퟜ쫽캪N+Mq,쎿막풱릤돖막볆뮮훐뗄죏막좨횤폫릫뾪쫐뎡훐붻틗뗄싲죫웚뗄볛횵캪:좨폐튻룶뫜훘튪뗄닮틬뻍쫇:풱릤뗄죏막좨횤춨뎣쫇늻뿉붻PMq틗뗄;뛔폚뿉붻틗뗄웚좨살쮵,듓Black-Scholes릫쪽뿉횪1=(NP1+MqPW)/(N+Mq)=P1-N+M(Pq1-PW)ꆭꆭꆭꆭꆭꆭꆭꆭꆭꆭꆭꆭꆭꆭꆭꆭꆭꆭꆭꆭꆭꆭ죴쎻폐뫬샻럖엤웤풤웚뗄횴탐쪱볤쫇웚좨뗄떽웚죕ꆣ헢쫇틲(1)볙뚨룃릫쮾쎻폐랢탐죏막좨횤,뛸쫇폐쿠춬쫽솿뫍쿠춬캪퓚웚좨떽웚죕횮잰,웚좨뗄웚췻볛횵듳폚웚좨뇪뗄닺욷떱웚쿞뗄싲죫웚좨퓚붻틗ꆣ웚좨돖폐헟퓚잰뗄쫐뎡볛룱폫횴탐볛룱횮닮;떱튻룶웚좨뗄돖폐헟탨튪뛔t1쪱뿌탐쪹웚좨쯹쓜뗃떽뗄쫕틦캪헢룶춷듧뷸탐쇷춨쪱,쯻뿉틔싴돶헢룶웚좨믱좡룼룟뗄쫕틦Rc=max{P1-PW,0}ꆣ컒쏇뫜죝틗볆쯣뗃떽춶헟듓죏막좨횤훐쎿튻막뗄붻틗훐뗃떽뗄쫕틦캪뛸늻믡좥횴탐쯼ꆣ뛔폚늻쓜퓚쫐뎡짏뷸탐쇷춨뗄풱릤죏막좨:횤살쮵,평폚럧쿕욫뫃뫍쇷춨탔튪쟳뗈풭틲쪹뗃죏막좨횤튻Rn=max3{P1-PW,0}냣늻쫇퓚떽웚죕횴탐뛸쫇퓚헢횮잰;폐뗄짵훁쫇퓚떽웚죕횮=max{P1-PMqW-NP+M(q1-PW),0}잰쫽쓪뻍횴탐,웤쯰쪧뗄쫕틦뇈폃Black-Scholes웚좨뚨볛Mq릫쪽맀볆뗄튪짙쇋붫뷼튻냫ꆣ튲헽쫇평폚헢킩틲쯘뛸쪹뗃죏=(1-Nmax{P+M)q1-PW,0}막좨횤뗄횴탐탐캪쿠떱뢴퓓,뛔쯼뗄뚨볛컊쳢튲뇤뗃쪮럖삧Mq=(1-N+M)R쓑ꆣqCN뛔죏막좨횤뗄뚨볛랽램훷튪폐솽샠:튻샠뻍쫇춨맽뛔=N+MRqCꆭꆭꆭꆭꆭꆭꆭꆭꆭꆭꆭꆭꆭꆭꆭ(2)Black-Scholes웚좨뚨볛릫쪽뷸탐쾡쫍킧펦뗄뗷헻,쇭튻샠ꆪ119ꆪ
뻍쫇뛾닦쫷뚨볛랽램ꆣ쪹폃뛾닦쫷뗄죏막좨횤뗄뚨볛랽램튲N(d)캪샛믽헽첬럖늼몯쫽,ti캪뗚i듎뫬샻횧뢶뻠떱잰뗄쪱탨튪뛔쪹폃Black-Scholes웚좨뚨볛릫쪽쿠펦뗄뗷헻,뾼싇볤,Di캪뗚i듎쎿막뫬샻횧뢶뷰뛮ꆣ룷훖틲쯘뗄펰쿬뛸뛔볛룱맽돌뷸탐쿠펦뗄탞룄ꆣ퓚듋컒쏇훷쪹폃쾡쫍킧펦뗄뗷헻죏막좨횤뚨볛쒣탍폐틔쿂벸랽쏦뗄튪뛔Biack-Scholes웚좨뚨볛릫쪽뗄룷훖뇤뮯뷸탐쳖싛ꆣ늻ퟣ:뇭1ꆡ냋볒릫쮾컥췲뛠쏻퓚1980-1992쓪풱릤ꇱꆡ쎻폐뾼싇퓚뫬샻횧뢶횮잰횴탐;죏막좨횤뗄횴탐쟩뿶ꇱꆡ평폚쮰쫕뗈풭틲뛸쪹탩횵죏막좨횤폐햹웚뗄뿉쓜릫쮾ABCDEFGH탔;ꇱꆡ컞럧쿕샻싊쫇쯦믺뇤뮯뗄;쫐횵ꇱꆡ좨틦뗄랽닮쫇튻룶쯦믺뇤솿,좨틦뗄늨뚯싊폫좨틦(틚쏀풪>10B>10B1-10B1-10B<1B<1B<1B<1B)짏쫐뗄ퟜ횵돉랴뇈뗈ꆣ뗘뗣NYSENYSENYSENYSENasdaqNasdaqNasdaq럇짏쫐평폚뛔짏쫶헢킩풭틲뗄뾼싇쪹뗃뚨볛쒣탍폐탭뛠뇤뮯탎쓪늨쪽ꆣ1973쓪Merton럅뿭쇋컞럧쿕샻싊캪뎣쫽뗄볙뚨,퓚뚨뚯싊01220133013301350159014701620104볛릫쪽훐퓊탭샻싊쫇튻룶쯦믺뇤솿ꆣ평폚죏막좨횤뗄폐킧웚폐킧튻냣뚼뫜뎤ꆪꆪꆪ컥쓪틔짏,퓚헢퇹뎤뗄쪱웚쓚볙뚨릫쮾좨틦웚10믲101010101055뗄늨뚯싊캪뎣쫽폫쿖쪵돶죫첫듳ꆣ캪듋,1975쓪Cox쳡돶쇋5(쓪)랢럅만뚨늨뚯싊떯탔(CEV)뗄뚨볛쒣탍,퓚CEV쒣탍훐볙뚨막죕웚쎿쓪쎿쓪쎿쓪쎿쓪쎿퓂뿉뇤쎿쓪쎿쓪욱쫕틦뗄늨뚯싊싺ퟣ쿂쫶맘쾵:ꛒP=ꛒ1Pꚷ-1좫늿3ꆪ4랢췪쓪4쓪4쓪3쓪4ꆪ54ꆪ53ꆪ4쓪쓪쓪4쓪웤훐:ꛒP캪막볛캪P룶떥캻믵뇒쪱뗄늨뚯싊,ꛒ1캪막풱릤볛캪1룶떥캻믵뇒쪱뗄늨뚯싊,ꚷ캪0떽1횮볤뗄뎣쫽ꆣ뇈샽1119120181183214551270122218떱ꚷ=1쪱,CEV뚨볛쒣탍뻍쫇B-S릫쪽,틲뛸쯼쫇쓪랢튻샠룼맣랺뗄뚨볛릫쪽;떫뛔헢튻샠뚨볛릫쪽살쮵ꚷ뗄좷뚨탐솿015%111%015%112%713%710%816%511%쫇튻룶쓑뗣ꆣ1990쓪Lauterbach뫍Schultz뛔25000뛠룶죏횴탐막좨횤뗄죕쫽뻝뷸탐쪵횤럖컶,폃ꚷ=015뗄CEV쒣탍폫탞헽쾡쫍킧펦뗄Black-Scholes뚨볛릫쪽뷸탐뇈뷏ꆣ듓쪵횤뗄10%01110113011101130117010901050139횴탐뷡맻살뾴,만뚨늨뚯싊떯탔뗄뚨볛쒣탍뗄풤닢컳닮튪뇈뫳헟훐캻01270135013101350138012201210192복킡10ꆪ20%ꆣ횴탐평폚뫬샻럖엤ꆢ쇷뚯탔뫍럧쿕욫뫃뗈풭틲떼훂죏막좨횤쳡잰횴탐뗄뿉탐탔퓶듳,뛔쪵횵죏막좨횤뗄펰쿬뷏듳,쪵볊90%01510171016401770167013901600199욽뻹랢짺뗄볛룱퓶뎤뇈폃뚨볛릫쪽룸돶뗄듳ꆣ뛔탩횵죏막좨횤살쪱볤0130140135014014012301260179쮵,평폚듦퓚햹웚뗄뿉탐탔쪹뗃웤볛횵튪듳폚뚨볛릫쪽훐룸볛횵돶뗄횵,캪듋퓚뚨볛릫쪽훐탨튪뾼싇쳡잰횴탐뗄펰쿬ꆣ10%01280136013901430160015901460162[닎뾼컄쿗]볛횵\[1\]Blac1kF1andScholes1M1Thepricingofoptionsand훐캻01550166016101670192019301720199corporateliabilities\[J\].JournalofPoliticalEconomy,1973,볛횵(18):637ꆪ%01800187018401890199110001991100\[2\],M1I1Pricingofwarrantsand욽뻹thevalueofthefirm\[J\].Thejournaloffianance11978,(33):볛횵015501640160016601850184017101891333ꆪ1341.\[3\]Hemmer,1T,MatsunagaS1andShenlinT1Thein2퓚폫Bfluenceofriskdiversificationontheearlyexerciseofemployeelack-Scholes웚좨뚨볛릫쪽샠쯆뗄볙뚨횮쿂,탞헽쾡쫍킧펦뗄Black-Scholes죏막좨횤뚨볛릫쪽쫇튻룶틾쪽stockoptionsbyexecutiveofficers\[J\]1JournalofAccounting랽돌andEconomics,1996,(21):45ꆪ68.:\[4\]LauterbachB1andSchultzP1Pricingwarrants:AnWMq=(NP-rtM-t)t-ꇆei)D+M)\[(qi+tNW)N-r(T(d1)-ePWN(d2)\]ꆭꆭ(3)empiricalstudyoftheBlack2Scholesmodelanditsalternatives웤훐d)1=\[ln(P-rte\[J\].JournalofFinanc1e1990,(45):1181ꆪ-ꇆDMi+NW)+r(T-t)\]/ꛒ(T1-t)+ꛒT-ti2\[5\]LognstaffE1Pricingoptionswithextendiblematuri2d2=-d1-ꛒT-tties:Analysisandapplications\[J\].JournalofFinanc1e1990,W캪죏막좨횤뗄볛룱,Pt캪막욱볛룱,PW캪횴탐볛룱,(45):935ꆪ캪랢탐퓚췢뗄ퟜ막놾,M캪죏막좨횤뗄랢탐솿,q캪쎿튻죏막좨횤뿉릺싲뗄막쫽,r캪컞럧쿕샻싊,T캪죏막좨횤뗄[퓰죎뇠벭:탭풾믔]폐킧웚,ꛒ캪쎿튻떥캻릫쮾좨틦MS+(N)W뗄늨뚯싊,ꆪ120ꆪ
