A Study Of Pricing Warrant And The Application Of Co-integration In Warrant

Warrant, as a special call option, has experienced a history about a hundred years, which is characteristic of plain infrastructure, easy operation, mature theory, etc. Now many countries have witnessed the phenomenon of its prosperity. With the reforming of the capital market, warrant has been introduced in the China finance market while an important and complicated problem that is how to price it has been in the limelight. In fact, the option pricing theory has gained great achievement. In the thesis the limitation of the option pricing theory has been discussed which is applied in china after making a study of these theories. Then JTB1, the first warrant in china, has been the priced according to the theory as the case.Co-integration theory has gained extensive utilization since the 1980s, overcoming the confines of the traditional analytical method that is applied mainly in dealing with linear variable. The Co-integration technology is superiority in non -linear variable in economic field. In the part of case study, the co-integration relation between the price in theory and the price in market of JTB1 has been checked, which produces the statistical evidence used to judge the pricing capacity of the different pricing model. From the analysis has been made, the conclusion is reasonably reached that the Black-Scholes option model with the parameter of implied volatility is utmost suitable for JTB1. In addition, the co-integration relation between the price of JTB1 and the price of GBG in market has been examined, in consequence that it is rational to conclude that the two variables has no co-integration relation, which means in economic that price of JTB1 and the price of GBG keep their own regulation in steady of the certain relationship in theory. The conclusion enlightens that the phenomenon of opportunism is enjoying a big boom in the China capital market.