利用权证发行后的可观察量,构建定价权证的非线性方程组。进一步分析验证了此方程组解的存在性。将新的评价函数和加权梯度方向搜索引入遗传算法,给出了一种求解带约束不等式的非线性问题的扩展混合遗传算法。最后,结合实际市场数据进行了实证研究,并针对不同的数值例子进行了算法的检验。数值结果表明该方法在权证定价模型求解方面比其他方法更有利。 Using the observables after the issuance of warrants, we construct a nonlinear equations of pricing warrants. Further analysis verifies the existence of solution to this system of equations. The new evaluation function and weighted gradient direction search are introduced into genetic algorithm, and an extended hybrid genetic algorithm for solving nonlinear problems with constrained inequalities is given. Finally, the empirical research based on the actual market data is carried out and the algorithm is tested for different numerical examples. Numerical results show that this method is more advantageous than other methods in solving the pricing model of warrants.