An Empirical Study On The Pricing Of Call Warrants In China

This paper attempts to find out the best model and method for warrants pricing which minimizes the gap between model price and market price.Since the Black-Scholes model is a significant breakthrough in the history of option pricing. It has always been proved to be one of the most precise option pricing models. Hence, I start my research by applying the Black-Scholes model into the warrant pricing. With the Black-Scholes pricing model under different volatility estimation, nine call warrants are priced to identify the better pricing model. This paper also reveals many important issues though the pricing of call warrants. Though the comparison of the theoretical and actual price,error statistics,maturity and the intrinsic percentage value of call warrants, a regression model is established to find out the causes of the pricing error, and finally to improve the pricing efficiency.In this paper, a pricing model of call warrant was raised under certain assumptions, namely: (1) market in a state of equilibrium; (2) S>K/q;(3) within the time of the sample selection section, risk-free interest rates do not change, that is, W = qS-K. Under the assumptions of the model, it can provide investors with a good way to price call warrants and conveniently confirm whether the warrant investment value method. Research shows that the model has a good pricing efficiency through seven warrants empirical research. This is an innovative point of this paper.Finally, this paper discusses the main research results and makes my own recommendations.