| 等价鞅测度模型在欧式认股权证定价中的应用 |
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| 引用本文： | 张凯凡.等价鞅测度模型在欧式认股权证定价中的应用[J].三峡大学学报(自然科学版),2012,34(2):110-112. |
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| 作者姓名： | 张凯凡 |
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| 作者单位： | 湖北工业大学理学院,武汉,430068 |
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| 摘 要： | 介绍了认股权证,并利用等价鞅测度定理给出欧式认股权证定价的一般公式,如修正一些基本假设,可推导一些应用于特殊情况的权证定价公式.
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| 关 键 词： | 等价鞅测度 认股权证 Black-Scholes公式 风险中性测度 |
Application of Equivalent Martingale Measure to European Warrants Pricing |
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| Zhang Kaifan.Application of Equivalent Martingale Measure to European Warrants Pricing[J].Journal of China Three Gorges University(Natural Sciences),2012,34(2):110-112. |
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| Authors: | Zhang Kaifan |
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| Institution: | Zhang Kaifan(College of Science,Hubei Univ.of Technology,Wuhan 430068,China) |
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| Abstract: | The warrants are introduced;and based on equivalent martingale measure theorem,a European warrants pricing general formula is given;if amending some basic assumptions,a number of special circumstances warrant pricing formulas can be derived. |
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| Keywords: | equivalent martingale measure warrants Black-Scholes formula risk-neutral measure |
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