模糊环境下带交易费用的权证定价模型——纪念李国平院士吴新谋教授诞辰100周年

该文综合考虑我国证券市场中广泛存在的隐性交易费用, 建立了模糊环境下带交易费用的权证定价模型. 在假设交易费用率为三角型模糊数的前提下导出了新的权证价格区间, 并通过引入模糊期望的概念, 将区间数转化为与投资者主观判断无关的准确数. 基于此模型, 对模型中三角型模糊数的关键参数 进行了灵敏度分析和投资策略分析.

The Warrant Pricing Model with Transaction Costs in Fuzzy Environment

Taking the so-called invisible costs which widely exist in the Chinese security market, this paper builds the fuzzy warrant pricing model with transaction costs. Under the assumption that the rate of transaction costs is a triangle fuzzy number, a new warrant price interval is obtained. Applying the concept of fuzzy-expectation, this paper gets the theoretical warrant price by converting the interval number to a crisp number which is independent to the investor's subject judgments. Based on this model, this paper makes the sensitivity analysis of some key parameters of the triangle fuzzy number, and the analysis of investment strategies is also made.