| 具有执行价格和到期日重设型备兑权证的最佳重设策略 |
| |
| 引用本文： | 傅强,刘芝秀. 具有执行价格和到期日重设型备兑权证的最佳重设策略[J]. 南方经济, 2007, 0(8): 18-25 |
| |
| 作者姓名： | 傅强 刘芝秀 |
| |
| 作者单位： | 1. 重庆大学经济与工商管理学院,重庆,400044
2. 重庆大学数理学院,重庆,400044 |
| |
| 基金项目： | 对于本文,匿名审稿人提出了大量建设性修改意见,在此表示感谢.当然文责自负. |
| |
| 摘 要： | 本文分析了备兑权证拥有者在执行价格和到期日重设时的最佳重设策略．得出了该策略执行的两个必要条件。研究结果表明重设策略与无风险利率r和分红率q有关，而新执行价格和标的资产大小关系的α与策略的优化有关。
|
| 关 键 词： | 执行价格重设 到期日延长 最佳重设策略 |
| 文章编号： | 1000-6249（2007）08-0018-008 |
Covered Warrants with Combined Reset Rights on Strike and Maturity |
| |
| Qiang Fu,Zhixiu Liu. Covered Warrants with Combined Reset Rights on Strike and Maturity[J]. South China journal of Economy, 2007, 0(8): 18-25 |
| |
| Authors: | Qiang Fu Zhixiu Liu |
| |
| Affiliation: | Qiang Fu Zhixiu Liu |
| |
| Abstract: | This paper analyzes the covered warrants with combined reset rights on strike and maturity, the optimal reset policy commences only at those times when two necessary conditions are satisfied. The behaviors of the reset policies depend on the relative magnitude of the risk less interest rate and dividend yield , the multiplicative factor in defining the new strike and the price of underling asset is also relevant to the reset policy. |
| |
| Keywords: | Strike Reset Maturity Extension Optimal Reset Policy |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
