| 具有稀释效应的连续支付红利的欧式认股权证的定价模型 |
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| 引用本文： | 马路安,金凌辉,郭丽莎.具有稀释效应的连续支付红利的欧式认股权证的定价模型[J].甘肃联合大学学报(自然科学版),2007,21(1):29-31. |
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| 作者姓名： | 马路安 金凌辉 郭丽莎 |
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| 作者单位： | 1. 华中师范大学,数学与统计学学院,武汉,430079
2. 中南民族大学,计算机科学学院,武汉,430074 |
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| 摘 要： | 利用PDE方法论证了具有稀释效应、无风险利率随时间变化、存在连续支付红利及波动率随时间变化的特点的欧式认购权证的定价模型,并得到其显式解.
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| 关 键 词： | 认股权证 红利 稀释 定价模型 |
| 文章编号： | 1672-691X（2007）01-0029-03 |
| 收稿时间： | 2006-11-01 |
| 修稿时间： | 2006年11月1日 |
The Pricing Model of The European Warrants Which with Dilution Effect and the Dividend was Paid Continuously |
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| MA Lu-an,JIN Ling-hui,GUO Li-sha.The Pricing Model of The European Warrants Which with Dilution Effect and the Dividend was Paid Continuously[J].Journal of Gansu Lianhe University :Natural Sciences,2007,21(1):29-31. |
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| Authors: | MA Lu-an JIN Ling-hui GUO Li-sha |
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| Abstract: | In this paper, the author use the method of PDE to prove the European warrants pricing model which have the characteristics of dilution effect, risk-free rates changing with time, continuous paid dividend and volatility changing with time, and get the explicit solution. |
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| Keywords: | warrant dividend dilution pricing model |
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