The Pricing Of Warrant And Convertible Bond Under Short-Selling Prohibition

Along with the innovation and the development of financial market, more and more derivatives appear in our country. With regard to the research of the derivatives, it is the kernel that how to price them.At present, the Black-Scholes model is widely used in respect of pricing of the derivatives which contained contingent claim inside. But the Black-Scholes model is valid just under some conditions, especially the assumption of complete market. This assumption draws a conclusion of the fundamental principle of"absence of arbitrage", and the investor can obtain risk-free income only.However our financial market is not complete, and in which short-selling is absent. So the Black-Scholes model is invalid in our market. A new model must be build to pricing the derivatives in our...