The Comparison Study On The Theory-price And The Market-price Of The Warrant In Mainland China

Along with the gradual development and further deepening of our financial industry, more and more derivatives appear. There have been 27 warrants list on the market, which have important significance to our country derivatives market, since the Baoshan Steel Corporation JTB1 listed on the market in August, 2005. However, there have huge differences between the warrants theory prices given by SSE and the market prices. The two types of the prices even departed from each other. Further more, some put warrants market prices is positive correlated with the underlying stocks prices. These have violated the warrants pricing theory.At present, two viewpoints explanted the differences between warrants theory prices and market prices. One is that warrants theory prices are incorrect, the other is that warrants market prices are overpriced by speculators. This paper analyzed 27 warrants and found out two main courses leading to the differences. One is inputted variables are not precise enough and distribution of stocks...