认股权证价格过程的风险分析  

Risk Analysis on Process of Warrant Prices

作　　者：欧诗德[1,2] 杨善朝[3] 

机构地区：[1]中国人民大学统计学院,北京100872 [2]玉林师范学院,广西玉林537000 [3]广西师范大学,广西桂林541004

出　　处：《系统管理学报》2008年第6期675-679,共5页Journal of Systems & Management

基　　金：广西自然科学基金资助项目(0728091);广西区教育厅科研资助项目(200607LX077;200707LX146)

摘　　要：用逐次迭代算法证明认股权证定价。结果表明,该方法优于拉格朗日插值法;给出认股权证市场风险管理常用的Delta与Vega计算公式。对宝钢认股权证价格过程进行了风险分析,发现实际价格过程存在着较高的风险。Warrant pricing was proved to be computed by the algorithm of successive iteration, the result indicates that this method outperforms Lagrange multiplier method; the formulas of computing Delta and Vega often used in risk management were presented, and then the risk for the process was analyzed, finally more risks were found in the market prices of warrant. Baogang warrant

关 键 词：权证 迭代算法 压缩映像 风险分析 

分 类 号：F832.5[经济管理—金融学] O241.81[理学—计算数学]