| 基于分数布朗运动和跳过程的股本权证定价模型 |
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| 引用本文： | 杜文歌,刘小茂.基于分数布朗运动和跳过程的股本权证定价模型[J].价值工程,2009,28(6):151-154. |
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| 作者姓名： | 杜文歌 刘小茂 |
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| 作者单位： | 华中科技大学数学与统计学院,武汉,430074 |
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| 摘 要： | 考虑到金融市场中资产价格具有的记忆性和长期相关性,模型假设股本权证标的资产价格服从分数布朗运动过程;并考虑到市场存在不确定因素而引起的价格巨大的波动,在模型中又引入了一个跳过程。首先得出权证定价的一般公式,最后在考虑股本权证行权后产生的稀释效应,得出稀释调整后的股本权证定价公式,并将其延伸到支付红利情况下。
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| 关 键 词： | 分数布朗运动 跳过程 股本权证 定价模型 稀释效应 |
The Pricing Model of Equity Warrants Based on Fractional Brownian Motion and Jump Process |
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| Du Wenge,Liu Xiaomao.The Pricing Model of Equity Warrants Based on Fractional Brownian Motion and Jump Process[J].Value Engineering,2009,28(6):151-154. |
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| Authors: | Du Wenge Liu Xiaomao |
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| Institution: | Du Wenge Liu Xiaomao (School of Mathematics and Statistics, Huazhong University of Science and Technology, Wuhan 430074, China) |
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| Abstract: | Considering the memories and long-range dependence of asset prices in financial markets,and the huge price fluctuations, this paper constructs warrants pricing model under Fractional Brownian motion and jump process,deduces the European warrants pricing formula first,then gets the equity warrants pricing formula,last extends it to cover equity warrants on a stock providing dividends. |
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| Keywords: | Fractional Brownian motion jump process equity warrants pricing model dilution effects |
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