An Application of Copula Function to Warrant Investment

摘要：

By introducing Copula and dependence concept, the dependence structure between a representative warrant and its underlying asset in the reform of shareholding splitting in China was empirically analyzed. Based on the analysis, an explanation for warrant investment risk during the reform was obtained.

关键词： Copula method warrant risk analyzing dependence analyzing

作者: Yirong Ying Olivier BRANDOUY

作者单位: School of International Business and Management,Shanghai University,Shanghai, 201800 Universite des Sciences et Technologies de Lille,France, Reseau des IAE104,Avenue du. Peuple Belge,

会议类型: 国际会议

会议名称: 2007 Conference on Systems Science, Management Science and System Dynamics(第二届系统科学、管理科学与系统动力学国际会议)

会议地点: 上海

会议语种:英文

页码: 2697-2702

在线出版日期: 2007-10-19（万方平台首次上网日期，不代表论文的发表时间）