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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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不 流 动 资 产 的 定 价 与 股 权 分 置 改 革 研 究<br />

0.5 2.2965 3.2467 2.0643 2.9902<br />

0.7 2.3075 4.5424 2.0643 4.6578<br />

0.9 2.3029 10.8947 2.0643 9.7323<br />

对 应 于 ρ 变 化<br />

V0 ρ T ω<br />

2 ω<br />

2<br />

QL QI QL0 QI0<br />

0.1 0.4259 0.5223 0.4 0.4916<br />

0.3 0.4257 0.7975 0.4 0.7533<br />

0.3 0.7071 -0.5 1 0.5 0.4259 1.2937 0.4 1.2243<br />

0.7 0.4258 2.4504 0.4 2.3233<br />

0.9 0.4259 8.2360 0.4 7.8185<br />

0.1 0.4264 0.5033 0.4 0.4727<br />

0.3 0.4254 0.7213 0.4 0.6805<br />

0.3 0.7071 -0.3 1 0.5 0.4260 1.1171 0.4 1.0546<br />

0.7 0.4253 2.0355 0.4 1.9273<br />

0.9 0.4261 6.6483 0.4 6.2911<br />

0.1 0.4258 0.4436 0.4 0.4162<br />

0.3 0.4256 0.4944 0.4 0.4623<br />

0.3 0.7071 0.3 1 0.5 0.4254 0.5860 0.4 0.5454<br />

0.7 0.4260 0.8013 0.4 0.7394<br />

0.9 0.4257 1.8722 0.4 1.7090<br />

0.1 0.4258 0.4240 0.4 0.3973<br />

0.3 0.4257 0.4189 0.4 0.3896<br />

0.3 0.7071 0.5 1 0.5 0.4260 0.4100 0.4 0.3757<br />

0.7 0.4256 0.3883 0.4 0.3434<br />

0.9 0.4257 0.2810 0.4 0.1816<br />

0.1 0.4257 0.4043 0.4 0.3227<br />

0.3 0.4262 0.2333 0.4 0.1929<br />

0.3 0.7071 0.7 1 0.5 0.4257 0.3431 0.4 0.2729<br />

0.7 0.4262 -0.0239 0.4 -0.0449<br />

0.9 0.4257 -1.3079 0.4 -1.5248<br />

σ<br />

对 应 于 T 及 ω 变 化<br />

V0 ρ T ω<br />

2 ω QL QI QL0 QI0<br />

0.3 0.7071 0.5 0 0.1 0.4 0.3973 0.4 0.3973<br />

0.3 0.4 0.3896 0.4 0.3896<br />

0.5 0.4 0.3757 0.4 0.3757<br />

σ<br />

2<br />

90

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