The Pricing For Warrant Bonds

Warrant Bonds refers to the stock warrants bondholders obtained according to fixed proportion when a company issues bonds. Warrant Bonds refers to that when a company issue bonds, bondholders bonus stock warrants according to fixed proportion. At a certain time,the holder may purchase the shares of the company in accordance with the prescribed price.In 1970s of the United States , Warrant Bonds have been produced and is have already been already a mature financial products in foreign countries. However, it was listed as refinance product in May 2006 for the first time in Our our country just be divided into Refinance products in May 2006 for the first time. Pricing has become an important issue in the field of convertible bonds.At present, the research on the convertible bond of separable transaction has made great progress in domestic domestically and foreignoverseas. However, these studies mainly focus on the research of the difference and relationship between Warrant Bonds and Convertible Bonds as well as the financing problem of Warrant Bonds. In this paper, we will study the pricing formula of Warrant Bonds from the perspective of quantitative analysis.This article The fractional jump diffusion model and O-U process model were introduced in this paper to study the pricing of Warrant Bonds . gives the Jump Diffusion model and O-U process model for the study of Warrant Bonds pricing, The pricing formula was deducted by Using using the no arbitrage risk neutral pricing theory and risk pricing theorythe martingale method obtained the double factors of Warrant Bonds pricing models; those are:the Warrant Bonds pricing under the condition of Vasicek rates with fractional diffusion model, the Warrant Bonds pricing under the condition of Vasicek rates with fractional jump-diffusion model, the Warrant Bonds pricing under the condition of fractional Vasicek rates with fractional diffusion model, the Warrant Bonds pricing under the condition of fractional Vasicek rates with jump-fractional diffusion model, the Warrant Bonds pricing under the condition of stochastic rates with fractional diffusion model in the bought back or sold back clauses, and the Warrant Bonds pricing under the Hull-White rate and index O-U process model.