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1 引言目前,我国在股权分置改革的实践中,发行了许多的认股权证,事实上,这些权证是期权的一种。期权是一种衍生品,它是由股票、债券、外币等标的资衍而来。一般地,这些的资产价格s的变动过程可用一个马可夫随机过程来描述,它满足以下随机微分方程:dS/S=σrdX+udt, 其中,dX是一个维纳过程,它满足正态分布,其均值和方差分别为0和dt。在风险中性世界(rist-neutral world)中u等于无风险收益。 Black和诺贝尔奖得主Scholes,建立了著名的Black-Scholes期权定价模型,并得出了欧式看涨和看跌期权的定价公式。他
1 Introduction At present, China has issued many warrants in the practice of split share structure reform. In fact, these warrants are a kind of options. An option is a derivative that derives from the underlying stock, bond, foreign currency, etc. Generally, the process of the change in asset prices s of these can be described by a Markov stochastic process that satisfies the following stochastic differential equation: dS / S = σrdX + udt, where dX is a Wiener process that satisfies a normal distribution whose The mean and variance are 0 and dt, respectively. In a rist-neutral world u equals a risk-free return. Black and Nobel laureate Scholes built the famous Black-Scholes option pricing model and came up with the pricing formula for European call and put options. he