摘要
分析了影响认股权证价值的主要因素以及认股权证与期权定价的主要区别,介绍了现行的几种认股权证的定价方式,并着重阐述了等价鞅方法,推导出了合适的类似Black-Scholes模型的认股权证公式,在对一些基本假设做出修正的基础上,推导出了一些应用于特殊情况的权证定价公式,可为同类研究参考.
The main influencing factors of warrants value and the differences between warrants and option price are analyzed, several existing pricing modes of warrants are introduced, the method of equivalent martingale are highlighted, the suitable warrants formulas, which are similar with the models of Black - Scholes, are derived. Based on some amended basic assumptions, some warrants pricing formulas are derived, which are adapted to some special circumstances.
出处
《华北水利水电学院学报》
2007年第6期85-90,共6页
North China Institute of Water Conservancy and Hydroelectric Power
