| 风险中性定价下的权证定价模型 |
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| 引用本文： | 贺强,王建军.风险中性定价下的权证定价模型[J].西安邮电学院学报,2006,11(2):80-82,98. |
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| 作者姓名： | 贺强 王建军 |
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| 作者单位： | 西北大学,经济管理学院,陕西,西安,710127 |
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| 摘 要： | 通过中性定价法,在考虑权证行权时对股价的不同影响,以及股利发放对股价的影响的基础上,推导出类似Black-Scholes模型的欧式股本权证定价模型。并给出了在实际运用中的举例。
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| 关 键 词： | 认股权证 定价模型 Black-Scholes模型 |
| 文章编号： | 1007-3264（2006）02-0080-03 |
| 收稿时间： | 2005-06-02 |
| 修稿时间： | 2005-06-02 |
The pricing model of warrants by using risk-neutral method |
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| HE Qiang,WANG Jian-jun.The pricing model of warrants by using risk-neutral method[J].Journal of Xi'an Institute of Posts and Telecommunications,2006,11(2):80-82,98. |
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| Authors: | HE Qiang WANG Jian-jun |
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| Abstract: | This paper presents a pricing model of warrants by using risk-neutral method.The model includes the warrants' dilution effect on the stock price.This model is just similar to Black-Scholes model.The paper also gives an example in which the model is used. |
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| Keywords: | warrants pricing model Black-Scholes model |
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