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.

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发行人在发行备兑权证之后，通常需要以各种各样的对冲策略对风险进行规避。

After the covered warrants were issued, the issuer had to use various strategies to hedge the risk exposed.

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由于备兑权证本质上是期权，因此本文考虑采用有交易成本的期权间断复制模型作为发行人的风险对冲策略。

Since the covered warrant is option essentially, this paper considers using option replication strategies to hedge the issuer's risk exposure.

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