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基于中国股权结构的多种权证定价模型及比较

Multiple Warrants Pricing Model Based on Stock Structure in China and Their Comparison
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摘要 本文在风险中性条件下,通过考虑中国股权结构的影响,修正了基于同一主体的多种认股权证的定价公式。本文还比较了两定价公式,说明了修正后的定价公式具有相对优势。 This paper adjusts a pricing model of two warrants which are issued by the same company considering the stock structure in China in the condition of risk - neutral. This paper also sheds light on the advantages of the pricing model through comparison with the original one.
作者 傅强 王晓勤
机构地区 重庆大学经济与工商管理学院 重庆大学数理学院
出处 《重庆大学学报（社会科学版）》 2007年第3期17-21,共5页 Journal of Chongqing University(Social Science Edition)
关键词 认股权证 股权结构 BLACK-SCHOLES模型 warrants stock structure Black -Scholes pricing model
分类号 F830.91 [经济管理—金融学]
  • 相关文献

参考文献13

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二级参考文献13

  • 1(美)约翰.赫尔.期权、期货和衍生证券[M].张陶伟译.北京:华夏出版社,1997.
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共引文献45

重庆大学学报（社会科学版）
2007年 第3期

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