作　　者： ; ;

机构地区： 华南理工大学理学院

出　　处： 《科学技术与工程》 2007年第7期1406-1410,共5页

摘　　要： 美式认沽权证的定价一般是采用二叉树模型,但是,由于在持续期内的分红会对行权价格有影响,所以经典的二叉树模型无法较为准确地为国内的美式认沽权证定价。文中针对这一情况,在路径到达的假设下推导出行权价格的调整公式,并由此修正了二叉树模型。之后,以穗机场认沽权证为例子进行定价研究,同时考虑了认沽权证前三个月不能行权对定价所造成的影响。定价结果分析中将二叉树模型与B-S模型之间,以及两种二叉树模型之间进行比较,并分析产生差异的原因。文中的结论将对国内权证市场中美式认沽权证的定价具有一定的借鉴作用。 Bin-tree module is usually used in the pricing for American put option. But the dividends in the duration will cause the change of striking price, so the classic bin-tree module can＇ t make pricing for internal American put options. To deal with this problem, an adjust formula is induced for striking price under the assuming of path reaching, and thus revised the bin-tree module. Then Guangzhou Airport Put Warrant is taken as the example to study the pricing method, and also consider the condition that the warrant can＇ t be executed in the first three months. At last the bin-tree module is compared and Black-Scholes Formula and the difference between the two bin-tree modules, and the cause to the difference is analysis. The result can be used for reference to internal American put option pricings.

关 键 词： 美式认沽权证 权证定价 分红 修正二叉树模型 路径到达假设 贝叶斯法则

领　　域： [经济管理]