| 基于等价鞅方法下认股权证的定价模型 |
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| 引用本文： | 孙彬.基于等价鞅方法下认股权证的定价模型[J].华北水利水电学院学报,2007,28(6):85-90. |
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| 作者姓名： | 孙彬 |
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| 作者单位： | 北京科技大学经济管理学院,北京,100083 |
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| 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.
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| 关 键 词： | 认股权证定价 Black-Scholes公式 等价鞅测度 |
| 文章编号： | 1002-5634（2007）06-0085-06 |
| 收稿时间： | 2007-08-16 |
| 修稿时间： | 2007-10-16 |
Pricing Models of Warrants Based on Equivalent Martingale |
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| SUN Bin.Pricing Models of Warrants Based on Equivalent Martingale[J].Journal of North China Institute of Water Conservancy and Hydroelectric Power,2007,28(6):85-90. |
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| Authors: | SUN Bin |
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| Abstract: | 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. |
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| Keywords: | warrants pricing formulas of Black - Scholes measure of equivalent martingale |
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