基于期权理论股票定价模型研究（定稿）.doc

摘 要 传统的现金流量模型在对股票定价的过程中，存在着不能精确地确定投资者的收益率和未来支付的现金股利的不足。公司的权益资本（股票）具有期权的特性，公司的股票实质上是基于公司价值的看涨期权，该期权的执行价格就是公司债券到期时的还本付息的金额，于是可以用期权定价模型来进行股票定价。该方法不需要估计未来的现金股利和投资者的预期收益率，在一定程度上克服了传统股票定价方法的缺陷。 首先对国内外企业股票定价的方法进行综述;随后阐述了市场上常用的两个经典模型：现金流量贴现模型与股利贴现模型，并分析了每种模型的优缺点及其适用范围。然后重点研究了基于期权理论的股票定价模型：Black-Scholes模型和二叉树模型。对模型分析时，本文采用“理论分析――实证分析――优缺点分析”的思路。在实证分析中，对公司的价值进行评估，并验证了基于期权理论的股票定价模型的准确性。最后，对基于期权理论的股票定价的两个模型进行比较，得出股票如何定价的结论。 关键字：现金流量模型；股票定价；Black-Scholes模型；二叉树模型Abstract The traditional cash flow model of stock pricing in the process of the investment can not precisely determine profitability and future payment of cash dividend. Corporate equity (stock) has the characteristics of the option, and the stock of the company is essentially a call option based on corporate value, the price of which is the amount of debt servicing when the company bond expires, and we can use the option pricing model for stock pricing. This method does not need to estimate the future cash dividend and the expected rate of return of investment, which overcomes the shortcomings of the traditional methods in a certain extent. Firstly, we review the stock pricing methods at domestic and foreign enterprises. Then we introduce two classical models in the stock market: cash flow model and dividend discount model, and analyses the advantages and disadvantages of each model and its scope. At last, we study stock pricing models based on Black – Scholes’ theoretical research and Binomial tree models. We use the methods of the theoretical analysis--empirical analysis--advantages and disadvantages analysis to analyze the model. According to empirical analysis, we make evaluation of enterprise value and verify the accuracy of the evaluation based on the theory of stock option pricing model. Finally, comparing to the two models we draw a conclusion how to make the stock pricing. Key words: Cash flow model; Stock pricing; Black - Scholes model; Binomial tree 目 录 摘 要 Abstract 绪论……………………………………………………………………（1） 股票定价的基