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The Analysis of the Price of Chinese Warrant

Author: LiuYingHui
Tutor: MenMing
School: University of Foreign Trade and Economic
Course: Finance
Keywords: China stock market Warrant B-S model Price
CLC: F224
Type: Master's thesis
Year: 2006
Downloads: 379
Quote: 3
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Abstract


This paper mainly studies two issues: The first one is the warrantpricing. Appling to the famous B-S Model, this paper analyze factorsrelated to the price of the warrant, and give the theoretic price of warrant.Secondly, after analyzing the difference between the theoretical pricesand the actual prices, this paper find out not only the numerical value butthe movement direction of the theoretical price and the practical price isdifferent, the correlation between them is not significant. For example:when the price of the stock decreases, theoretically the put warrant shouldincrease, on the contrary, it decreases steadily. In the end, comparing thedifference between the assumptions of B-S model and our actualeconomic environment of warrant;this paper find out the assumption ofthe B-S model do not exist in the domestic market. Compared withforeign warrant, the price of domestic warrants fluctuates more violentlyand more irregularly. If we want to use the B-S model for domesticwarrant pricing, we need consummate our economic environment firstly.

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