导　　师： 高凌云

学科专业： 070104

授予学位： 硕士

作　　者： ;

机构地区： 暨南大学

摘　　要： 国有股的存在是我国的特殊国情决定的,国有股转流通也是我国国有企业改革和资本市场发展完善的客观需要,是经济提升的一个重要手段。因此也是一个在理论和实践中都备受关注的话题。从国有股减持方案的两次颁布与暂停可以看出国有股减持中最重要的问题在于减持后的定价。定价是国有股转流通的必然性及转流通后所带来的有利之处的关键所在,定价的成功与否将直接影响到国有股减持的成功与否。 全文采用倒向随机微分方程的方法对国有股减持的定价问题进行研究。第二章对国有股存在的背景及减持发展的历程进行了分析,通过具体的数据及图形给出国有股在企业中所占的比例及其对发展的影响。第三章紧接着介绍了国有股减持的必然性,通过具体数据说明了减持的可行性；开创性的运用了冯·诺依曼效用函数分析了国有股转流通的必然性。第四章通过一个具体的实例说明了国有股减持需要解决的问题,同时说明减持的发行并不能直接进入A股市场,而是应该先在A股市场外进行交易,且把这个市场外的交易称之为C股市场,使C股市场可以正常发展一定的时间之后与A股市场并轨,合二为一。第五章则主要利用数学模型解决了减持的定价问题,首先对倒向随机微分方程做了简单的介绍,其次通过二叉树及三叉树等定价方法的举例说明原有定价方法的繁琐及求解过程的复杂,给出了倒向随机微分方程求解减持定价问题这一特殊的方法；并给出了一个相应的例子,它表明这一模型求解的价格更为精确。最后一章则对全文内容进行了相应的总结。 The existence of state-owned shares is decided by our special conditions,and the circulation of China's state-owned shares is one of the most important problems in China's state-owned enterprises' reform and the capital markers' development,and is an important means of economy promotes.So it becomes the focus of this problem both practically and academically.Twice the promulgated and suspended of state-owned shares lessening,the most important issue is the pricing.The pricing is inevitable and favorable that weather it's successful will affect the circulation. All the paper employs the backward stochastic differential equations mechanism to analyze the pricing.The second chapter is analyzing about the background and the course of the state-owned shares lessening,then give the proportion of state-owned shares in the enterprise and the influence of its development through specific data.The third chapter introduces the necessity and feasibilityof lessening through the specific data.The roundbreaking work is analyzing the necessity with the von-neumann utility function.The fourth chapter is a specific example to illustrate the problems needed to resolve,and the lessening couldn't be isseued direct in the A share market for which the C share market is established to instead.The fifth chapter resolves the pricing problem through the mathematic model.Firstly,there is a brief introduction about backward stochastic differential equations;then explains the cockamamie and complex of the original pricing methods through binomial tree model.And an example is giving to explain that the new pricing model is much more precise.In the last chapter some summary and advices is giving about the whole paper.

关 键 词： 国有股 流通 倒向随机微分方程

分 类 号： [O211.63 F832.51]

领　　域： [理学] [理学] [经济管理]