我国带红利认股权证定价模型的研究  

The Research of the Dividend Warrants Pricing Model in ChineseFinance Market

作　　者：滕翔[1] 倪虎波[1] 

机构地区：[1]山东科技大学,山东青岛266510

出　　处：《佳木斯大学学报（自然科学版）》2008年第6期868-870,共3页Journal of Jiamusi University：Natural Science Edition

摘　　要：在2005年证监会实行股权分置改革之后,权证重新出现在我国证券市场上.怎样合理地给权证定价就成为一个关键问题.本文通过对传统Black-Scholes期权定价公式的局部调整与修改,充分考虑了稀释效应和发放红利等因素,创造性地推导出不支付红利具有稀释效应的欧式认股权证定价模型,从而推导出带红利具有稀释效应的欧式认股权证定价模型.Warrants were introduced in our stock market again after the share splitting reform in 2005. How reasonable pricing to the warrants will become a key issue. Based on the traditional Black - Scholes option pricing formula adjustments with the revision of the local, non - payment of dividends derived from the dilution effect of the Continental warrants pricing model, which is derived from the payment of dividends with the Continental dilution effect of warrants pricing model.

关 键 词：认股权证 稀释效应 红利 

分 类 号：F830.91[经济管理—金融学]