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Warrants Pricing in China’s Market

Author: LiuXuan
Tutor: WangGuiLan
School: Shanghai Jiaotong University
Course: Financial Mathematics
Keywords: Warrants Risk-neutral pricing Arbitrage Hedge Hull-White model
CLC: F224
Type: Master's thesis
Year: 2008
Downloads: 207
Quote: 2
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Warrants , in essence, is an option , so it is the pricing can borrow option pricing method . However, in our country , the warrants is still a relatively new financial derivatives varieties. Since China is an emerging market , many of the rules and regulations are not sound , and foreign markets are more mature . Which existing financial theory can not explain the phenomenon in China's market . Therefore , in this paper , we consider in our local market , such as the existence of different risk-free rate and short selling restrictions under the conditions of the warrants seller ( issuer ) and the cost of the buyer (holder) to hedge their own warrants positions discussed classic based on the Black-Scholes formula , given warrants pricing arbitrage - free interval . We then discuss the arbitrage - free interval ceiling , the main consideration in random fluctuation rate , assuming that the implied volatility obey the Hull-White (1987) model , further use of the implied volatility of historical data , the future implied volatility forecast . Finally, by comparison with the market price of the warrants , the comparison model the pros and cons , and the causes of error are analyzed and investigated. The empirical results show that : in our local market , the price of the warrants Underlying trend , more by the the warrants market itself speculative factors . Based on this, the end of the article made ??some suggestions for the development of China 's warrants market .

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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