The Warrant Prices Of China's Securities Market: The Deviation Between The Actual And Theoretical Prices

The warrant market restarted after several years because of the Split Share Structure Reform. But there are so many speculative activities in our warrant markets. The overvaluation of the warrant price becomes the focus of the market.Through empirical analysis of some of warrant at the Split Share Structure Reform by Black-Scholes model, this thesis reveals the deviation between the actual and theoretical prices of china's warrant market. For further analysis, we measure the risk-free chances of arbitrage by the put-call parity relationship. Because of the warrant founder have different investment-behavior combination from ordinary investors, this study conclusions really benefits for the specific investment strategies of the warrant founder.Finally, this thesis discusses the cause of the large-amplitude deviation between the actual and theoretical prices from the warrant pricing mechanisms, analyzes the pricing efficiency of the warrant market under the warrant-founding mechanisms .The thesis discusses the warrant-founding mechanisms as well as existed problems .Then constructive Countermeasures are put forward to solve the problems.