复合期权在我国认股权证定价中的实证分析  

The Empirical Analysis of warrant pricing of Compound Opations in China

作　　者：何江妮[1] 

机构地区：[1]新疆财经大学应用数学学院,新疆乌鲁木齐830012

出　　处：《新疆师范大学学报（自然科学版）》2008年第3期23-28,共6页Journal of Xinjiang Normal University(Natural Sciences Edition)

摘　　要：文章以基于复合期权定价模型之上的认股权证定价公式对宝钢JTB1、鞍钢JTC1、包钢JTP1等14支权证进行了理论定价,并对实证结果作了进一步分析,得出了一些有意的结论。This text in order to on the basis of compound option fix the price model fix the Price warrants of model fix the price formula to Baoshan iron and steel plant JTB1, card products of 14 pieces of right such as Anshan iron and steel plant JTC1 ,Baotou steel company JTP1, etc. carry on the theory and fix the price,and do further analysis to the real example result,have drawn some beneficial conclusions.

关 键 词：认股权证 复合期权定价模型 协整分析 

分 类 号：F803.5[经济管理]