Applications of Equivalent Martingales Model in Pricing Warrants

摘要：

The warrant is introduced and its pricing formula is obtained by using of equivalent martingale measures model. Some special warrants pricing formulas are able to be derived which are adapted to some special circumstances.

关键词： Equivalent Martingale Measures Model Warrant Black-Scholes Formula Risk-neutral Measure

作者: ZHU Yonggang

作者单位: School of Science, China Three Gorges University, P.R.China, 443002

会议类型: 国际会议

会议名称: 2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)

会议地点: 青岛

会议语种:英文

页码: 1-5

在线出版日期: 2009-07-25（万方平台首次上网日期，不代表论文的发表时间）