The Analysis Of Pricing Model Of Warrants Market In China

A warrant is a security that entitles the holder to buy stock of the company that issued it at a specified price within the certain time. Certainly, the holder can give up the right. Because of some merit, it is very popular in the warrant market.Warrants develop twice in china for more than ten years. It is flourish for several years, but all warrants curtain in China warrants market which is leaded by many reasons. One of the important reasons is that investor has no clear understanding the warrant, especially has no full understanding about the pricing of warrant. So this paper is to research the pricing model and the factor which influence the warrant price. It not only has important theory significance, but also can provide policy proposal on the microscopic structure for regulators, but also contributes to the development of the securities market.Firstly, this paper analyzes the warrant basic theory from the definition, development history and the warrant pricing model. Then in the light of the warrant actual situation in our country market, I use the B-S model to do empirical analysis. From the pricing mechanism of Chinese warrants product realistic significance to carry on the analysis. Finally I put forward measures and suggestions according to the research results.Through analyze a few sample warrants pricing by using B-S model, this paper draw the conclusion:Chinese warrants market price is not reasonable, the correlation between the warrant price and the underlying stock price is weak and the theoretical price by using the historical volatility deviate the market price largely, but the theoretical price by using the implied volatility deviate the market price smaller. So it can provide certain guiding significance to market price.The aim of this paper is that through research the basic theory of this warrant which develops rapid in the overseas, analyze the positive effect and difficulties in our country stock market development process. And wish to provide active and far-reaching significance to the future of china securities market development and other financial derivative products.