The eleven warrants listed in the Shanghai and Shenzhen stock exchanges for were set for samples, based on stochastic volatility and Monte Carlo methods were applied to estimate the theoretical value of warrants,comparison to the market price was made. This method of calculating the value of Warrants can be used to explain the market prices of warrants from the overall perspective.
参考文献
相似文献
引证文献
引用本文
范彩云 栾长福. 基于随机波动率的认购权证价值实证研究[J]. 科学技术与工程, 2007, (24): 6492-6495. FAN Cai-yun, LUAN Chang-fu. Empirical Analysis on the Call Warrants Value Based on the Stochastic Volatility[J]. Science Technology and Engineering,2007,(24):6492-6495.