三叉树模型下美式认股权证的定价  

The Pricing of American Warrants in Discrete Case

作　　者：王琦[1] 王玉文[1] Wang Qi Wang Yuwen(Harbin Normal Universit)

机构地区：[1]哈尔滨师范大学

出　　处：《哈尔滨师范大学自然科学学报》2016年第5期1-4,共4页Natural Science Journal of Harbin Normal University

基　　金：国家自然科学基金项目(11471091)

摘　　要：探讨建立在Black-Scholes定价模型基础上,充分考虑定价问题中利率的随机性,利用三叉树定价模型方法结合美式期权的定价模型,得到美式认股权证价格的递推公式,以及带回购的、除权除息的美式权证定价的递推公式,为债转股问题的研究奠定基础.In this paper, based on the Black - Scholes model, the random nature of the pricing problem of interest rates is considered. Using the three pricing model method with the American option pricing model, the condition of discrete recursive formula of American warrants and repurchases warrants, except rights and interests warrants pricing formula are got.

关 键 词：三叉树模型 美式权证 带回购权证 除权除息 公司 

分 类 号：O211.6[理学—概率论与数理统计]