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本文以五粮认购权证为研究对象,根据市场实际情况对Black-Scholes模型进行了改良,得到了欧式认购权证的定价公式。并对五粮权证三个不同阶段市场价格和理论价格的偏差进行了动态分析,发现权证在发行一段时间后这种偏差会趋于稳定,定价公式对发行的中期有很好的参考价值。而后期市场脱离了理论价格则认为主要是投机因素造成。
This paper takes Wulian Warrants as the research object, modifies the Black-Scholes model according to the actual market conditions, and obtains the pricing formula of the European Warrants. And the dynamic analysis of the deviation of the market price and the theoretical price of Wuliang warrant in three different stages shows that this deviation will tend to be stable after the issuance of warrants for a certain period of time. The pricing formula has a good reference value for the mid-issue of the offering. The latter part of the market price from the theory that is mainly caused by speculative factors.