The Correlated Analysis Of Theoretical Price And Market Price Of Warrants In Mainland

Warrant, as a special call option, has experienced a history about one hundred years, which is characteristic of plain infrastructure, easy operation, mature theory, etc. Now many countries have witnessed the phenomenon of its prosperity. With the reforming of the capital market, warrant has been introduced in the Chinese financial market while an important and complicated problem that is how to price it has been in the limelight. In fact, the option pricing theory has gained great achievement. In the thesis, the limitation of the option pricing theory has been discussed which is applied in china after making a study of these theories. Then BAOGANG JTB1,the first warrant in china, has been the priced according to the theory as the case.Warrant is a new financial derivatives for our financial markets, so it is very important to find a option pricing model which is suitable for Chinese continental status and study whether the model price can play the role of instructing the market price or not, whether they are close correlated etc, for design the portfolio of financial assets, modification of its proportion, hedging and risk management.In this paper, we use the B-S option pricing model to study the correlated structure of the warrant’s model price and market price of China’s mainland. Many scholars’research focus on the choice of good pricing model or the analysis of model errors, even if they study the correlation of the two price, they almost use Granger causality test、co-integration analyzes and so on. We induct a new method, Copula function, to analyze their correlate structure, which can make up the shortage of traditional correlation analysis. Through empirical analysis, we have got some new conclusion finally.