摘要
本文根据认股权证的价格影响因素对美式认股权证进行了定价分析,针对非流通股认股权证的几种情况,分不分红利的美式认股权证和分红利的美式认股权证两种情形进行讨论.根据Black-Scholes期权定价理论推导出相应的美式认股权证的定价模型,并针对一般情况给出示例分析.
In this article the pricing of American Warrants is analyzed, according to the pricing factors. We take two situations into accout： no dividend and dividend when we discuss some kinds of situations of warrants with none currency stocks. Finally, we give the relevant pricing models of American Warrants according to the Black-Scholes pricing theory and the example of the general situation.
出处
《经济数学》
2008年第2期175-182,共8页
Journal of Quantitative Economics
基金
南开大学
天津大学刘徽应用数学中心资助项目(No.2001T08)
