Warrant Pricing Model In The Calculation Of Nav And The Operation Of The Fund

The mutual fund NAV calculation and fund accounting is the field which mostly comply with the mark-to-market valuation policy comparing with other industries in China's accounting and book-keeping mainly due to the requirement for time and accuracy. The most typical case of the valuation technique in line with mark-to-market policy in fund accounting would be the Black-Scholes Option Pricing Model, which is applied to unlisted option as holding position or part of embedded derivative instruments in several aspects in fund NAV valuation. The essay elaborates on how Black-Scholes model is combined with the fund NAV calculation daily practice and the impact it bring to the NAV and fund daily operation. Meanwhile, the essay put forward some amendment based on operational practice to the application of Black-Scholes in order to improve the fairness and correctness of fund NAV calculation.