关键词: 隐性交易费用, 权证定价模型, 模糊数, 模糊期望, Black-Scholes方程

Abstract:

Taking the so-called invisible costs which widely exist in the Chinese security market, this paper builds the fuzzy warrant pricing model with transaction costs. Under the assumption that the rate of transaction costs is a triangle fuzzy number, a new warrant price interval is obtained. Applying the concept of fuzzy-expectation, this paper gets the theoretical warrant price by converting the interval number to a crisp number which is independent to the investor's subject judgments. Based on this model, this paper makes the sensitivity analysis of some key parameters of the triangle fuzzy number, and the analysis of investment strategies is also made.

Key words: Invisible costs, Warrant pricing model, Fuzzy number,  Fuzzy-expectation, Black-Scholes formular