股本权证发行后的定价与模型求解  

Model and Solution for Pricing after the Issuing of Equity Warrant

作　　者：肖炜麟[1] 张卫国[1] 张惜丽[1] 徐维军[1] 

机构地区：[1]华南理工大学工商管理学院,广东广州510640

出　　处：《系统工程》2009年第5期61-66,共6页Systems Engineering

基　　金：国家杰出青年科学基金资助项目(70825005);教育部新世纪优秀人才支持计划项目(06-0749);教育部人文社会科学研究规划项目(07JA630048;07JC630059)

摘　　要：利用权证发行后的可观察量,构建定价权证的非线性方程组。进一步分析验证了此方程组解的存在性。将新的评价函数和加权梯度方向搜索引入遗传算法,给出了一种求解带约束不等式的非线性问题的扩展混合遗传算法。最后,结合实际市场数据进行了实证研究,并针对不同的数值例子进行了算法的检验。数值结果表明该方法在权证定价模型求解方面比其他方法更有利。This paper proposes nonlinear equations for pricing warrants using observable variables after issuing warrants. Our further analysis helps to justify the existence of the rational numerical solution in this system. Combining the new evaluation functions with weighted gradient direction search into the Genetic Algorithm, an extended hybrid Genetic Algorithm is developed to solve these nonlinear programming problems with inequality constraints. Finally, an empirical study is performed based on real market data and a test based on different numerical examples is also presented. Numerical results show that this algorithm is superior to other available methods in solving warrant pricing model.

关 键 词：股本权证 权证定价 混合遗传算法 非线性方程组 

分 类 号：F830[经济管理—金融学]