三叉树模型下美式认股权证的定价

The Pricing of American Warrants in Discrete Case

探讨建立在Black-Scholes定价模型基础上,充分考虑定价问题中利率的随机性,利用三叉树定价模型方法结合美式期权的定价模型,得到美式认股权证价格的递推公式,以及带回购的、除权除息的美式权证定价的递推公式,为债转股问题的研究奠定基础.

In this paper, based on the Black - Scholes model, the random nature of the pricing problem of interest rates is considered. Using the three pricing model method with the American option pricing model, the condition of discrete recursive formula of American warrants and repurchases warrants, except rights and interests warrants pricing formula are got.