风险中性定价下的权证定价模型  

The pricing model of warrants by using risk-neutral method

作　　者：贺强[1] 王建军[1] 

机构地区：[1]西北大学经济管理学院,陕西西安710127

出　　处：《西安邮电学院学报》2006年第2期80-82,98,共4页Journal of Xi'an Institute of Posts and Telecommunications

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。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.

关 键 词：认股权证 定价模型 BLACK-SCHOLES模型 

分 类 号：F830.91[经济管理—金融学]