Shanghai And Shenzhen Market Warrants Pricing Issues

Warrant is the fundermental derivations. In 1995, there are a few kinds of portfolio with warrant characteristics issued in Chinese stock market, unfortunately they all failed in the end, for example matched-stock warrant. Unrealistic pricing and hyper-speculations are the most important reasons that caused the fail. In August 2004, the call warrant BGJTB11 that was issued in SSE, opening the second prologue of Chinese warrants market's development. Warrant has functions of price-finding and risk-avoiding, meanwhile it is accompanied by high risk, so we have to deal with it in more rational attitude, analyze it objectively and scientifically, then price it realistically, make all efforts to avoid warrant turn into a hyper-speculated market. According to this, this paper studies the warrants pricing question of the SSE & SZSE.Chapter 1 is the introduction part, introducing the research background, purpose, method, related research and the main innovations. Chapter 2 is a foundamental and simple introduction on warrants, includeing three parts: the warrants definition, the decisive factors of warrants'price and warrants'history and present condition. Chapter 3 mainly introduced the Black-Scholes(B-S) pricing model, we also according to the characteristics of the Chinese warrant market, expand the B-S model, to make sure the classic B-S model can be used to solve the whole warrants pricing of the SSE & SZSE . Chapter 4 is an introduction of the warrants numerical pricing methods, owing to the analytical demand of the empirical study, we only introduce the Monte Carlo Simulation(MCS) method of the warrants pricing which is the easiest to operation and carry out. Chapter 5 is the key part of this paper, we make use of B-S model and MCS methord to analyze the whole 32 warrants'pricing problem of the SSE & SZSE.Chapter 6 is the conclusion and the suggestion part of this paper.The paper's basic conclusion includes: the B-S model (including the expanded B-S model) and the MCS method are suitable for the SSE & SZSE; the empirical research indicates that there actually exists Unrealistic pricing and hyper-speculations in warrants market of the SSE & SZSE. Then, we analyze the problem that exposed in the empirical research, and according to these problems, we put forward the homologous policy suggestion. At the end, we provide the direction and suggestion to the related follow-up research.