摘要
在2005年证监会实行股权分置改革之后,权证重新出现在我国证券市场上.怎样合理地给权证定价就成为一个关键问题.本文通过对传统Black-Scholes期权定价公式的局部调整与修改,充分考虑了稀释效应和发放红利等因素,创造性地推导出不支付红利具有稀释效应的欧式认股权证定价模型,从而推导出带红利具有稀释效应的欧式认股权证定价模型.
Warrants were introduced in our stock market again after the share splitting reform in 2005. How reasonable pricing to the warrants will become a key issue. Based on the traditional Black - Scholes option pricing formula adjustments with the revision of the local, non - payment of dividends derived from the dilution effect of the Continental warrants pricing model, which is derived from the payment of dividends with the Continental dilution effect of warrants pricing model.
出处
《佳木斯大学学报（自然科学版）》
CAS
2008年第6期868-870,共3页
Journal of Jiamusi University：Natural Science Edition
关键词
认股权证
稀释效应
红利
warrants
dilution effect
the payment of dividends
