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不流动资产的定价与股权分置改革研究 - 金融工程

不流动资产的定价与股权分置改革研究 - 金融工程

不流动资产的定价与股权分置改革研究 - 金融工程

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附 录<br />

0.2316<br />

5 0.3<br />

1 0.3<br />

2 0.3<br />

3 0.3<br />

5 0.3<br />

0.3 0.5944 0.2177 -0.3767 0.4481<br />

0.5 0.6160 0.2179 -0.3981 0.4599<br />

0.7 0.6484 0.2174 -0.4310 0.4771<br />

0.9 0.6917 0.2172 -0.4745 0.4993<br />

0.1 0.9619 0.4740 -0.4879 0.6178<br />

0.3 0.9799 0.4740 -0.5059 0.6246<br />

0.5 1.0159 0.4734 -0.5425 0.6379<br />

0.7 1.0698 0.4742 -0.5956 0.6569<br />

0.9 1.1419 0.4734 -0.6685 0.6808<br />

0.1 0.1862 0.1326 -0.0536 0.1699<br />

0.3 0.1898 0.1328 -0.0570 0.1729<br />

0.5 0.1970 0.1328 -0.0642 0.1788<br />

0.7 0.2078 0.1328 -0.0750 0.1876<br />

0.9 0.2222 0.1330 -0.0892 0.1992<br />

0.1 0.3691 0.3109 -0.0582 0.3086<br />

0.3 0.3764 0.3100 -0.0664 0.3137<br />

0.5 0.3908 0.3096 -0.0812 0.3235<br />

0.7 0.4123 0.3105 -0.1018 0.3379<br />

0.9 0.4411 0.3105 -0.1306 0.3567<br />

0.1 0.5483 0.5496 0.0012 0.4221<br />

0.3 0.5593 0.5475 -0.0118 0.4284<br />

0.5 0.5809 0.5477 -0.0332 0.4406<br />

0.7 0.6133 0.5477 -0.0656 0.4584<br />

0.9 0.6565 0.5485 -0.1080 0.4813<br />

0.1 0.8957 1.2784 0.3827 0.5917<br />

0.3 0.9141 1.2705 0.3563 0.5991<br />

0.5 0.9503 1.2704 0.3201 0.6134<br />

0.7 1.0034 1.2830 0.2796 0.6334<br />

0.9 1.0758 1.2752 0.1994 0.6590<br />

μ<br />

1<br />

=0.1 μ<br />

2<br />

=0.6 σ<br />

1<br />

=0.2 λ =0.1<br />

σ 2<br />

V0 T ρ ω E_R E_JW E_JWw F<br />

0.3 0.4223 1 -0.3 0.1 0.2374 0.0445 -0.1928 0.2113<br />

0.3 0.2410 0.0445 -0.1964 0.2142<br />

0.5 0.2482 0.0445 -0.2036 0.2198<br />

0.7 0.2590 0.0445 -0.2144 0.2282<br />

0.9 0.2734 0.0445 -0.2289 0.2392<br />

0.6 0.4223 1 -0.5 0.1 0.2942 0.0446 -0.2497 0.2549<br />

0.3 0.3087 0.0446 -0.2641 0.2656<br />

87

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