本文针对我国股改中的百慕大权证提出了新的“模拟树-市场情绪”定价模型。
This paper puts forward a pricing model based on Simulation Tree and market sentiment for Bermudan warrants under Equity Division Reform.
研究标的股票收益与波动率相关下的备兑权证定价。
Studies the pricing of covered warrants on correlation between returns and volatility.
本文研究了带基差风险和交易费用的不完全市场中的权证定价与避险策略的建构问题。
In this thesis, the pricing and hedging in incomplete markets with transaction cost and basis risk are examined.
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