An Analysis On Warrant Volatility Factors And An Empirical Study On Warrant Pricing

Warrant is becoming the focus for many investors because of the exchange rule T+0. This paper will list some factors that would result in the warrants volatility, then analyze how and how much these factors result in the warrants volatility, and try to find out which factors are key factors resulting in warrants volatility and pricing, so that investors can make decisions reasonably and the security market can keep development stably. This paper demonstrates the opinions from two aspects. First, this paper wants to find out which factors result in the warrants mostly. This paper thinks: For subscription warrants, the change of stock price the key factor that results in the change of warrants price. While other factors, such as the change of time, stock volatility, stock index, could not bring the change of warrants price significantly. For put warrants, the change of stock results in the little change of warrants price. This explains theoretically that there is little correlation between put warrants and stocks. Secondly, this paper will use the Black-Schole pricing model to computer the warrants price and compare to the actual price to see if the Black-Schole pricing model is effectively.In the end of paper, this paper put forwards some suggestions to try to help security market improve steadily.