| 或有要求权在公司负债定价中的应用 |
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| 引用本文： | 邹杰涛,于海滨,吴润衡,韩立杰.或有要求权在公司负债定价中的应用[J].数学的实践与认识,2007,37(17):36-41. |
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| 作者姓名： | 邹杰涛 于海滨 吴润衡 韩立杰 |
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| 作者单位： | 北方工业大学,理学院,北京,100041 |
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| 摘 要： | 对公司负债估值的传统的方法是折现现金流的方法,但这种方法也存在很多缺陷.或有要求权的分析方法作为一种全新的方法可以克服折现现金流的方法在某些方面的不足.利用二叉树模型首先分析最简单情形,进而利用动态复制技术分析二叉树为二阶段时的公司负债价值.二阶段二叉树分析完了也就很自然的可以推广到任何阶段的二叉树.从而为公司负债的定价提供一种新的途径.
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| 关 键 词： | 或有要求权 风险债券 二叉树模型 动态复制技术 折现现金流法 |
| 修稿时间： | 2007年6月1日 |
The Application of CCA in the Company Liabilities Pricing |
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| ZOU Jie-tao,YU Hai-bin,WU Run-heng,HAN Li-jie.The Application of CCA in the Company Liabilities Pricing[J].Mathematics in Practice and Theory,2007,37(17):36-41. |
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| Authors: | ZOU Jie-tao YU Hai-bin WU Run-heng HAN Li-jie |
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| Abstract: | The traditional method for estimating company liabilities is discount cash flow method,but this kind of method has a lot of drawbacks.The contingent claims analytical method as an all new one can overcome the defects of discount cash flow method in a few aspects.It utilizes two fork tree models to analyze the most simple situation,and then uses the dynamic state replication's technique to analyze two fork trees,which has two periods' liabilities value of the company.The fulfillment of the analysis of two fork trees in the two periods can spread to any period of two fork trees.Thus it provides a new path for pricing company's liabilities. |
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| Keywords: | contingent claims risk bond two fork tree models the dynamic state replication's technique discount cash flow method |
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