| 马钢认股权证的协整分析 |
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| 引用本文： | 朱建军. 马钢认股权证的协整分析[J]. 湖南工业职业技术学院学报, 2008, 8(5) |
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| 作者姓名： | 朱建军 |
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| 作者单位： | 苏州大学商学院,江苏,苏州,215021;无锡商业职业技术学院,江苏,无锡,214153 |
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| 摘 要： | 协整理论为非平稳时间序列数据的建模提供了很好的解决方法。文章利用协整理论对马钢认股权证的理论价值与市场价格,以及认股权证市场价格与标的股票价格之间进行分析。
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| 关 键 词： | B—S模型 认股权证 协整分析 |
The Application of Co-integration in Ma-gang Warrant |
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| ZHU Jian-jun. The Application of Co-integration in Ma-gang Warrant[J]. Journal of Hunan Industry Polytechnic, 2008, 8(5) |
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| Authors: | ZHU Jian-jun |
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| Affiliation: | ZHU Jian-jun1,2(1.School of Business Soochow University suzhou 215012 Jiangsu,2.Wuxi institute of Commerce Wuxi 214153 Jiansu) |
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| Abstract: | The Co-integration theory is a superiority method in non-linear variable in economic field.In the part of case study,the co-integration relation between the price in theory and the price in market of Ma-gang warrant,and between the prices in market of MA-gang warrant and MA-gang stock,have been checked. |
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| Keywords: | black-scholes model warrant co-integration technology |
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