China's Stock Market Warrants Pricing Method

Warrants are actively traded in China's capital market currently. However, according to empirical evidence, there exists a huge gap between model price and market price. Hence warrant pricing is becoming an important issue demanding further studies. Both in theory and in practice, warrant pricing is a new field and is yet to develop further in China..Some warrants pricing models and methods have been introduced from abroad. However, there are several layers of studies on warrants pricing which lack of further research. First of all, it is necessary to review warrants pricing models and methods and its development dynamics systematically. Secondly, it is imperative to evaluate。The performance of warrants pricing based on these models. Thirdly, it is needed to analyze why the model biases exist. Last but not the least, it is worth to discuss ways to improve the performance of warrants pricing.。The objective of this paper is to study and address the issues mentioned above. The paper analyzes the issues theoretically, conducts empirical studies whenever possible and proposes effective solutions to the addressed issues. The paper attempts to find out the best model and method for warrants pricing which minimizes the gap between model price and market price.