摘要
本文分析了备兑权证拥有者在执行价格和到期日重设时的最佳重设策略,得出了该策略执行的两个必要条件。研究结果表明重设策略与无风险利率r和分红率q有关,而新执行价格和标的资产大小关系的a与策略的优化有关。
This paper analyzes the covered warrants with combined reset rights on strike and maturity, the optimal reset policy commences only at those times when two necessary conditions are satisfied. The behaviors of the reset policies depend on the relative magnitude of the risk less interest rate and dividend yield , the multiplicative factor in defining the new strike and the price of underling asset is also relevant to the reset policy.
出处
《南方经济》
北大核心
2007年第8期18-25,共8页
South China Journal of Economics
