摘要
根据风险中性定价原理,讨论了分离交易可转债中的权证定价问题.这是一种简单的百慕大式权证,考虑在完备的市场下,按照收益最大化原则,并结合鞅定价原理,给出了这种权证理论上的价格,最后简要讨论了其转换策略问题.
In this paper, we discuss the price of warrants in the warrant-bonds according to the neutral-risky pricing principle. This is a simple Bermudan warrants. Considering a complete market, in accordance with the principle of maximizing the return and the martingale pricing principle, we get a theoretical price of this warrant. At last, we briefly discussts conversion strategy.
出处
《中国科学院研究生院学报》
CAS
CSCD
2008年第4期439-444,共6页
Journal of the Graduate School of the Chinese Academy of Sciences
基金
中国科学院知识创新工程重要方向项目(KJCX3-SYW-S02)资助
