An application of copula function to warrant investment

作者：Ying Yirong; Brandouy Olivier

来源：Conference on Systems Science, Management Science and System Dynamics, 2007-10-19 to 2007-10-21.

• copula method
• warrant risk analyzing
• dependence analyzing

By introducing Copula and dependence concept, the dependence structure between a representative warrant and its underlying asset in the reform of shareholding splitting in China was empirically analyzed. Based on the analysis, an explanation for warrant investment risk during the reform was obtained.

• 出版日期2007
• 单位上海大学