摘要
针对我国创业板上市的高科技公司价值特征、募股资金投资项目的高风险性及IPO高抑价现象,本文首先以或有期权及无套利规则为基础建立高科技公司多阶段投资项目的复合期权价值评估模型,然后利用蒙特卡罗模拟方法对模型做动态模拟,得到基于实物期权方法的IPO价格,同时考虑到噪声交易,再结合基于噪声动量指数的IPO定价,推导出适合我国创业板高科技公司IPO估值的询价区间,最后进行案例计算及分析。
According to the value characteristic and the high risk of share capital projects for hightech company in Growth Enterprises Market and IPO＇s high underpricing in China Capital Market, Compoundoption value model of multi stage risk invest ment program for high tech company is established based on contingent option, no arbitrage regulation. The solutions of the model are obtained from analysis of three stages. With the application of Monte Carlo Simulation , the IPO price based on real option is ob tained. Meanwhile combined with IPO price based on noise momentum, IPO＇s inquiry pricing range of high tech company for China Growth Enterprises Market is found.
出处
《财经论丛》
CSSCI
北大核心
2012年第4期54-60,共7页
Collected Essays on Finance and Economics
关键词
创业板
实物期权
蒙特卡罗模拟
噪声抑价
IPO估值
growth enterprises market
real option
Monte Carlo simulation
noise underpricing
IPO valuation
