| 我国权证市场创设制度分析——以南航JTP1为例 |
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| 引用本文： | 滕翔,王向荣,李基梅.我国权证市场创设制度分析——以南航JTP1为例[J].山东理工大学学报,2009,23(2):44-47. |
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| 作者姓名： | 滕翔 王向荣 李基梅 |
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| 作者单位： | 山东科技大学信息科学与工程学院,山东青岛266510 |
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| 摘 要： | 南航JTP1是我国权证市场现行的唯一一支被创设的认沽权证,也是人们对创设制度问题的争论焦点.通过实证计算南航JTP1的权证理论价格以及对比其创设前后理论价格与实际价格的偏离,综合分析了我国权证创设制度的起因和作用,并对目前创设制度存在的问题进行了讨论,从而得出南航天量创设的原因.
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| 关 键 词： | 南航JTP1 创设 B-S公式 历史波动率 权证定价 |
Analysis of China warrants establishment system by the demonstration of Southern Airlines JTP1 |
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| TENG Xiang,WANG Xiang-rong,LI Ji-mei.Analysis of China warrants establishment system by the demonstration of Southern Airlines JTP1[J].Journal of Shandong University of Technology:Science and Technology,2009,23(2):44-47. |
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| Authors: | TENG Xiang WANG Xiang-rong LI Ji-mei |
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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: | China Southern Airlines JTP1 is the only put option established in China warrants market,and also the focal point of argument.The causes and effects of the establishment system in China warrants market were analysed synthetically by calculating the theoretical price of China Southern Airlines JTP1 and comparing the difference between the theoretical price and the real price.The reason of the large establishment of China Southern Airlines is found after thinking over the problem in China warrants establishme... |
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| Keywords: | Southern Airlines JTP1 establishment B-S formula fluctuation ratio pricing |
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