节点文献
具有稀释效应的连续支付红利的欧式认股权证的定价模型
The Pricing Model of The European Warrants Which with Dilution Effect and the Dividend was Paid Continuously
【摘要】 利用PDE方法论证了具有稀释效应、无风险利率随时间变化、存在连续支付红利及波动率随时间变化的特点的欧式认购权证的定价模型,并得到其显式解.
【Abstract】 In this paper,the author use the method of PDE to prove the European warrants pricing model which have the characteristics of dilution effect,risk-free rates changing with time,continuous paid dividend and volatility changing with time,and get the explicit solution.
- 【文献出处】 甘肃联合大学学报(自然科学版) ,Journal of Gansu Lianhe University(Natural Science Edition) , 编辑部邮箱 ,2007年01期
- 【分类号】F830.91;F224
- 【被引频次】5
- 【下载频次】261