A Study And Application Of Warrant Pricing In China

It has been making great improvement in financial market of China over the past two decades, especially in its capital market. Following the Chinese entry of WTO, it is necessary to open our financial market in order to deal with the opportunities and challenges, meet the requirements of efficient structure of financial market and diversified financial products. In a word, further financial innovations is urgently needed, the most important one of them is warrant.Before 1990, warrants had ever been issued by companies in European continent. In the April of 1970, the first piece of warrant appeared on New York stock market in America, and then, it developed dramatically. Now, warrant as one of the financial innovation tools is, day by day, playing an important part on the international capital market.Comparatively speaking, warrant products appeared much later in Chinese stock market. In the latter year of 2005, warrant was just introduced to our stock market during the dividing stock structure reform. But, because of the market speculation behavior, warrant price was once seriously deviate form its actual value. So how to price warrant reasonably in China and how to direct investors to evaluate warrant correctly, have becoming a popular research topic in theoretical field. However, the time from warrant introduced in our national financial market was still short and there are only a few systematic studies on warrant pricing, so primary researches on warrant are still focused on qualitative analysis and the relevant pricing theory remains lacking. Therefore, the research on the pricing of warrant has important meaning.This paper was just based on the actual status of our securities market, with ChangDian and BaoGang warrants as the examples, using the Black-Scholes option pricing model in the study for our national warrant. The article compared the theoretical pricing results with the market price and exhaustively analyzed the difference, then, expounded the conclusion that our national warrants were all high- evaluated. And the conclusion has some valuable meanings for the investment decision of investors and for the pricing decision of issuers.This paper divides into five parts, the main structure is as below:First part is the preface, primarily discuss the background and meaning of the study, methods of the study, survey of the research and the innovation of the article.Second part is the systematic and comprehensive summarization of the warrant's...