臺灣博碩士論文加值系統

　　本研究主要目的是以普通股股價為標的資產來釐清選擇權和認股權證間的關係。本研究運用二項樹模型，結合公司資本結構的概念，找出認股權證理論價格，與股票選擇權相比較。在固定規模報酬假設下，公司發行認股權證且將這筆收入立即運用於投資活動後，公司之股價不受影響。但是，由於認股權證承擔了大部分的資產價值波動風險，所以發行認股權證的公司股價波動較小，因此即使將公司股價視為標的資產，認股權證的價格依然小於股票選擇權的價格。這代表即使我們將認股權證的標的資產視為公司股價，稀釋效果依然存在。

　　The purpose of this paper is to investigate if there still exist dilution effect when we price stock warrants using stock price instead of company value as underlying asset. We used binomial tree model to price securities’ value and assumed constant return to scale. We found the stock price would not change after the company issued warrants if we assumed constant return to scale. But because the warrants bear most of the risk, the stock price after issuing warrants is less volatile than before. As a result, the warrant price is lower than the stock option price even thought their underlying assets’ prices are equal. This suggests the dilution effect still exists even though we use the stock prices as the underlying assets of the warrants.

中文摘要 Ⅰ
英文摘要 Ⅱ
誌謝 Ⅲ
目錄 Ⅳ
第壹章　緒論 1
第一節　研究背景 1
第二節　研究動機與目的 4
第三節　全文架構概述 7
第貳章　文獻探討 8
第一節　認股權證之標的資產視為公司價值的文獻 8
第二節　認股權證之標的資產視為普通股股價的文獻 23
第參章　研究模型 26
　第一節　模型設計 26
　第二節　模型均衡求解 30
第肆章　模型推導與分析 34
第一節　公司價值的比較 34
第二節　選擇權與認股權證價格的比較 36
第伍章　結論與建議 41
　第一節　結論 41
第二節 建議 41
參考文獻 42

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