Based On The B-s Model To Study The Pricing Of Our Country Warrants

In 2005, with the re-appearance of the warrant in the Chinese capital market, financial derivative market has stepped into a new stage. Warrant has been traded in Chinese market for four years before, but has to be stop for lack of marketing condition, for example the marketing mechanics is not mature, the law and traditional principle is not wholesome and the investor's knowledge on warrant is not profuse. Now with the need of share market reformation and diversification, warrant become a new star again.Warrant can not only supply a marketing way of non-circulating share translation but also multiply the capital market. We use the warrant to separate the "right" in the circulating share so that the value of the "right" in circulating share can be revealed and justified. As we all know in the one-time game the best bet of the participant is cheating, but in the multiple-times game the best choice of participant is being honest. On the other side the innovation should be step by step, from simple to complex and from low risk to high risk. Compared with the now anticipant share index future, warrant is more realistic, because we do not has the uniform index through whole country and we do have the historical tradition of warrant nine years ago. Otherwise our neighborhood market Hong Kong has the very successful experience on warrant which we can learn from it. This article will study the fundamental characteristics of warrant such as the birth and development of warrant, the classification of it and the difference between warrant and share future. And we also study the The advanced characteristics of warrant such as the risk of warrant, the price determination factor of warrant and warrant's key investing guideline.However, will warrant's actual price goes far away from its theoretic price like before? This article compare the three warrant price model and finally choose the Black-Scholes Model to testify the warrant price with historical volatility and implied volatility. We choose three warrant to study. They are Zhongshihua Warrant, Zhongyuan Warrant and Shanggang Warrant. Then we compare which volatility fit Chinese warrant market best. At last we give out the policy suggestion, as our warrant market is not very mature and still in development, we should give our investor more education about the warrant price determination. Furthermore we should issue more warrant to satisfy the market need and publish the covered warrant in the right time.