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认股权证定价实证研究
引用本文:井百祥,孙伶俐.认股权证定价实证研究[J].河南理工大学学报(社会科学版),2006,7(2):94-97.
作者姓名:井百祥  孙伶俐
作者单位:湘潭大学商学院 湖南湘潭411105
摘    要:认股权证在性质上也是一种期权,但并不是一种单纯的期权,其定价要比普通期权复杂。本文首先分析了影响认股权证价格的因素,并在一系列假设条件下,利用Black-Scholes公式,推导出认股权证定价公式;其次,采用了我国宝钢股票及其发行的认股权证的收盘价格资料,计算了公司权益的波动率,利用已推导的公式对认股权证理论进行了实证分析;最后同其实际市场价格进行了比较,为认股权证的投资决策提供了参考依据。

关 键 词:认股权证  期权  Black-Scholes公式  波动率
文章编号:1009-3893(2006)02-0094-04
修稿时间:2005年12月3日

The Empirical Study of Pricing Warrant
JING Bai-xiang,SUN Ling-li.The Empirical Study of Pricing Warrant[J].Journal of Jiaozuo Institute of Technology(Social Sciences),2006,7(2):94-97.
Authors:JING Bai-xiang  SUN Ling-li
Abstract:Although warrant is a kind of option in nature,it is not a pure option.The pricing factors are more complicated than a general option.In this paper,the factors affecting the value of the warrant are analyzed and the model of pricing warrants is inferred from the model of Black-Schole in some presumptions.Last,the volatility of equity is obtained by using close prices of stocks and warrants from the Baosteel.As a result,the value in theory is analyzed by the model that has been inferred.The comparison between the value in theory and the market price provides reference for making decisions.
Keywords:warrant  option  The model of Black-Scholes  volatility
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