摘要
基于修正Bladt和Rydberg在无市场假设下关于期权定价的保险精算方法的基础上,从评估实际损失和相应概率分布角度,利用公平保费原则建立认股权证的定价模型,并给出定价公式.且当投资者对原生资产期望回报率为无风险利率时,该定价为风险中性价格.
Modify the method of actuarial approach to option pricing without market as- sumption, which was first put forward by Bladt and Rydberg. In view of evaluating actual losses and corresponding probability distribution, we make the pricing model of warrants by the principle of fair premium, and further give the pricing formulae, When the investor＇s expected return rate equals the riskless interest rate, the pricing is just the neutral price.
出处
《数学的实践与认识》
CSCD
北大核心
2013年第11期42-46,共5页
Mathematics in Practice and Theory
基金
上海市高校选拔培养优秀青年教师科研专项基金(slx10009)
上海市教委科研创新项目(12YZ173)
上海市本级财政部门预算项目(1130IA15
1139IA0013)
上海立信会计学院开放经济与风险管理学科群课题(KFXKQ11-13)
上海市教委重点学科建设项目(J51702)
关键词
认股权证
保险精算定价
公平保费
概率测度
warrant
actuarial approach
fair premium
probability distribution
