Empirical Analysis Of China's Warrants Market Price

In August 22, 2005, Baogang warrant came into the market as a derivative of the Equity Division Reform, which aimed at resolving stock ownership distribution in Chinese stock market. Recently, the Equity Division Reform has almost concluded, and the vice president of Shanghai Stock Exchange, Liu Xiaodong said that Shanghai Stock Exchange is researching derivative warrant and will present this financial instrument in the near future. At this critical point of time, in order to disclose investment risks, make the participators to learn the warrant pricing theory, and guide them to invest rationally, the paper focuses on"the Empirical Analysis of Chinese Warrants Market Price".Firstly, the paper introduces the whole aspects about warrants which include the definition and classification of warrant, the warrant origination and development. Secondly, the paper presents some basic theories of the warrant pricing, which include the Monte Carlo simulation, the Binomial Trees model, and Black-Scholes Valuing model. On the basis of Black-Scholes Valuing model, the paper gives the empirical study on Magang warrant CWB1. It indicates that Chinese warrants market has achieved great improvement, and some suggestions will be presented in the final part for the further development of Chinese warrants market.