模糊数在股本权证定价中的应用  

Application of Fuzzy Numbers to the Equity Warrants Valuation Model

作　　者：孙琳[1] 

机构地区：[1]广东工业大学应用数学学院,广东广州510090

出　　处：《经济数学》2010年第1期9-15,共7页Journal of Quantitative Economics

基　　金：广东省自然科学基金项目(8451064101000358)

摘　　要：采用Ukhov权证定价模型求解权证价值的过程中,需要求解一个非线性方程组.但是采用数值法得到的最优解与精确解往往有一定偏差.针对这个情况,本文采用模糊数刻画非线性方程组的解,得到不确定形式的股本权证定价模型,并给出一定可信度下权证的模糊价格区间.同时也给出了给定任意一个权证价格求其对应的可信度的优化算法.数值算例验证了该文方法的有效性.Solving nonlinear equations is needed when one uses Ukhov warrant valuation model to obtain the price of warrant. However, there exists obvious deviation between exact solution and optimal solution by using numerical method. In view of this situation, this paper used fuzzy numbers to describe the solution of the nonlinear equations, obtained the uncertain version of the equity warrant pricing model and presented the fuzzy price interval of equity warrant with an acceptable belief degree. The optimization algorithm, which can obtain the corresponding belief degree with any given warrant price, was also presented. Some numerical examples were given to illustrate the efficiency of this method.

关 键 词：股本权证 权证定价 模糊数 模糊价格 

分 类 号：F830.59[经济管理—金融学]