含看跌期权的股权回购方式在企业融资中的应用研究

近年来全球资本市场出现了股权回购的浪潮，关于股权回购的动因、市场反应，国内外有很多理论和实证研究，而股权回购中的具体方式上的金融创新，尤其国内特殊环境下的国有资本退出、不良贷款处置、中小企业融资颁域内的股权回购金融创新，尚未见有文献研究。针对中国实际协议回购中出现的含特殊看跌期权的股权回购，它所含期权相对标准美式期权有两个特点：有效期的起始时间不是现在而是未来某一时刻，执行价格不是常量而随时间变化。建立其计算模型，分析它在企业融资中的作用，研究它对融资双方投资收益率的影响，编制数值计算程序，计算一个实际算例，并进行敏感性分析。

An Application of Stock-Repurchase of Dropping Option in Enterprise' Financing

In recent years, there emerge a surge of stock repurchase in global capital market, it is also underway in domestic capital market. Because of the difference between the west and our country in market environment, there exist strong (difference) in motive and way of share repurchases. There are many theories and empirical studies about the motive and (market) reaction, but less work connected with the innovation in share repurchase, especially the innovation of stock (repurchase) with in the dropping out of the state-owned capital, dealing with the non-performing loan, financing of the (middle) or small-sized entrepreneur under the special domestic environment. At the special variable strike price and option (emerged) in the practical negotiable stock repurchase in our country, there are two special characteristics compared to (standard) American option: the start point of the maturity is not now but some future time, the strike price is not a constant but a function of time. This paper analyzes its application scope, studies its pricing model and its influence on the yield of the two sides of the finance, writes the simulation program and uses it to calculate a example, makes a sensitive analysis.