Study, Based On The The Garch Amendment Warrants Pricing

Comes along with the gradual development of financial globalization, all the financial markets in the world are connected with each other closely. So financial risks spread more and more quickly, and their damages are more and more severely. In such circumstances, our financial system faces overwhelming challenges. Because compared with those developed countries, our capital market infrastructure is not perfect, and we lack the experiences in using financial instruments, especially those which can evade risks. So we do not have the advantages in the global financial market. Given the current condition and future development goals, we should quicken the infrastructure, better our capital market structure, and invest more energy to study the derivatives, enhance financial innovation, provide new financial derivatives, reform the ill-suited operation mechanism in capital market, reinforce supervision and popularize the investment knowledge for the investors.Option is one of the most important financial derivatives; because our option market starts late, and the market price of the option fluctuates acutely, deviates its real price greatly, so the dissertation mainly discuss the option price problems using WuGang buying option. First, we introduce the Black-Scholes option pricing model which is put forward by Fisher and Myron Scholes. Then by using their model we can measure the theoretic price of Option, by comparing the theoretic price and real price. We can find that the real price is deviated from its theoretical price severely. Then we go on introducing GARCH (1,1) model. And use this model to revise the historical fluctuation rate in Black-Scholes option pricing model. By empirical study we can find that this revision can explain partly the deviation between the theoretic price and real price of the Buying Option. At last for the part we can not explain by using GARCH (1,1) model, we would like to explain it by the over confidence model. This model is in the field of behavioral finance. After these revise and explanation, the theoretical price is closer to the real price. So I think these researches in Option market have great practical meaning in leading Option Pricing and monitoring our Option market.