| 认股权证的等价鞅测度定价模型与数值方法 |
| |
| 引用本文： | 刘志强,金朝蒿. 认股权证的等价鞅测度定价模型与数值方法[J]. 经济数学, 2004, 21(2): 136-140 |
| |
| 作者姓名： | 刘志强 金朝蒿 |
| |
| 作者单位： | 重庆大学数理学院,重庆,400044;重庆大学数理学院,重庆,400044 |
| |
| 摘 要： | 本文对认股权证应用等价鞅测度方法进行定价 .推导出计算更自然、更简单的类似 Black- Scholes模型的认股权证定价公式 .给出了一种比较好的数值计算方法 .并讨论了认股权证在中国证券市场的发展状况 .
|
| 关 键 词： | 认股权证 等价鞅测度 Black-Scholes模型 |
| 修稿时间： | 2003-11-23 |
THE EQUIVALENT MARTINGALE MEASURE PRICING MODEL OF WARRANTS AND ITS NUMERICAL METHOD |
| |
| Liu Zhiqiang Jin Chaosong. THE EQUIVALENT MARTINGALE MEASURE PRICING MODEL OF WARRANTS AND ITS NUMERICAL METHOD[J]. Mathematics in Economics, 2004, 21(2): 136-140 |
| |
| Authors: | Liu Zhiqiang Jin Chaosong |
| |
| Abstract: | This paper presents a pricing model of warrants by using the equivalent martingale measure approach.A pricing formula which is similar to Black-Scholes formula is given.Based on this formula,a better numerical method is supplied.At the end of this paper,the affect of warrants in the development of Chinese securities market is discussed. |
| |
| Keywords: | warrants equivalent martingale measure Black-Scholes model. |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
