| 我国带红利认股权证定价模型的研究 |
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| 引用本文： | 滕翔,倪虎波.我国带红利认股权证定价模型的研究[J].佳木斯大学学报,2008,26(6). |
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| 作者姓名： | 滕翔 倪虎波 |
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| 作者单位： | 山东科技大学,山东青岛266510 |
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| 摘 要： | 在2005年证监会实行股权分置改革之后,权证重新出现在我国证券市场上. 怎样合理地给权证定价就成为一个关键问题.本文通过对传统Black-Scholes期权定价公式的局部调整与修改,充分考虑了稀释效应和发放红利等因素,创造性地推导出不支付红利具有稀释效应的欧式认股权证定价模型,从而推导出带红利具有稀释效应的欧式认股权证定价模型.
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| 关 键 词： | 认股权证 稀释效应 红利 |
The Research of the Dividend Warrants Pricing Model in ChineseFinance Market |
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| TENG Xiang,NI Hu-bo.The Research of the Dividend Warrants Pricing Model in ChineseFinance Market[J].Journal of Jiamusi University(Natural Science Edition),2008,26(6). |
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| Authors: | TENG Xiang NI Hu-bo |
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| Institution: | College of Information Science and Engineering;Shandong University of Technology and Science;Qingdao 266510;China |
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| Abstract: | Warrants were introduced in our stock market again after the share splitting reform in 2005.How reasonable pricing to the warrants will become a key issue.Based on the traditional Black-Scholes option pricing formula adjustments with the revision of the local,non-payment of dividends derived from the dilution effect of the Continental warrants pricing model,which is derived from the payment of dividends with the Continental dilution effect of warrants pricing model. |
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| Keywords: | warrants dilution effect the payment of dividends |
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