The Discuss On The Warrant Models And The Demonstration Research On The Pricing About Warrant Of China

Since financial derivative products were created, investment field becomes more capacious. Financial derivative products could fix a price for assets, thereby it becomes the best tool of all to scheme resource. Development of financial derivative products is very important to more efficient scheme resource .After centuries of development of financial derivatives has become a huge family, warrants is the most eye-catching pearl inside. Warrants market is developing rapidly in the world, especially China's Hong Kong and Germany, warrants trading volume is the forefront in the world. As China's mainland capital market, the warrants as a primary financial derivative products is suitable for the development of derivatives markets as the Qiaomen Zhuan, and there is a positive and far-reaching significance to developed in other financial derivative products. The experience of developed the warrants market could prepare for the China's options markets in the future. China's securities market has just started, but after bumpy. Learned the experiences and lessons in the 1990s to close warrants the market, China's warrants market is developing and growing healthy and orderly. But in the course of development there are still many problems, the most prominent is the unreasonable pricing, price substantially deviated from the value; Even some warrants price is irrelevance completely. The most important question in capital market is one of the issues of product pricing .There are pricing models on options and warrants very early over sea and are increasingly mature, and practice shows that such pricing method is effective. But is it efficient that these mature models were applied to China's market warrants? If invalid, then what is the characteristics of the China's warrants market? Why is invalid? Can not put a new method price warrants product it ? With this series of problems i start to write this thesis.In this thesis, based on the theory of the West option pricing and China's market realities, I used the classic method of pricing options to price to China's warrants market products (such as Baogang,wugang Warrants for example) in order to prove whether these three warrants pricing models is effective. Based on the demonstration try to introduce a new pricing model on China's warrants product pricing to promote the development of China's warrants market in China and the development Options market in the future.In this thesis using EXCEL and EVIEWS tools I discussed the existing problems in pricing warrants by demonstration analysis, and price using a new method .the thesis is divided into the following sections:Introduction to the first chapter, mainly on the development of domestic and international warrants .Then expounds the background and significance of choosing this topic from the point of view on investors and regulators and capital market development.Chapter II: The definition of the concept and theory reviewed about warrants. First describes and defines the related concept .The latter is mainly the point of view and theories by the domestic and foreign scholars on the warrants pricing. At last they are lead that the three most widely used pricing methods.Chapter III: pricing model discussion and demonstration analysis on China's warrants pricing. This is the main body of this thesis. First introduced three important warrants pricing mode, then we define the corresponding assumptions and questions in the demonstration analysis. And then do demonstration study on China's warrants market data using these three methods. Finally drawn some preliminary conclusions from the comparison.Chapter IV is that we come on to analyze the conclusions trying to find out the reasons behind these conclusions. and the resulting preliminary draw of the warrants market in China to discuss the issue with a view to give reasonable suggestions for improvement. On the basis of this price warrants by the method of measurement to give a new model.In this thesis the innovation may be reflected in the following areas:1. Comprehensive using of B-S pricing model, binomial tree model and the Monte Carlo method empirical analyzed on China's warrants prices, from the comparison concluded that :there was a weak correlation between the stock and warrants ;and warrant is not subject Direct product of the conrrelational stock products ;is not a complete stock derivatives; and other relevant conclusions.2.It is proved that China's price about warrants is serious error in pricing by the demonstration. Actual prices were far from theoretical price.3. The conclusion was get that the model could be a good fit of China's warrants market price.