Pricing Of The Chinese Capital On Warrant And Empirical Researches

A national economic development, inseparable from the financial development. Financial markets, especially the capital markets of the West's economic development has played a great role in promoting. The birth of modern finance in the 1960s, the U.S. financial market to promote the rapid development of modern finance the rapid development. Portfolio theory of the 1960s and 1970s breakthrough derivative securities pricing model found that to stocks, bonds and financial derivative products into the scale of investment growth in geometric progression. In the 1970s, to the financial system innovation and innovation of financial tools as the main content of the wave of financial innovation in the global context was the rapid development. Options growing financial problems of Jurists attention to the risks of effective management, it is necessary to correct the financial derivative securities valuation. Options is an important financial derivatives. In all financial derivative securities pricing, option pricing of the most extensive, options pricing options theoretical research is the main content. Fischer Black and Myron Scholes in 1973 by the famous Black-Scholes option pricing model, and soon the industry was widely used.warrant is the nature of options, with a clear structure, easy operation, the theory mature and so on. warrant as a financial derivatives have become widely used financial derivatives. Since August 22, 2005, China's Baosteel to become the first to introduce the price of warrants way split share structure reform, China's warrants market has become an important part of the capital market. To enable participants to understand warrants warrants the true value and the market price is reasonable, thesis on "China's capital market pricing warrants empirical analysis" start. Paper is divided into four parts. The first chapter of the thesis topics reason, the significance expounded on the study of the status quo at home and abroad, and introduced the paper's methodology and innovation. Chapter II in theory introduced the concept of options, elements, options and warrants warrants and the relationship between the development of the market background. Chapter III discusses in detail the option pricing principles, including the options pricing theory and the basis of option pricing formula. Chapter 4 of China's capital market pricing warrants on the empirical study by Black-Scholes option pricing formula to calculate the theoretical price of warrants, warrants and the difference between the market price analysis. Empirical analysis of the results showed that the warrant market prices and price theory there is a long-term stable relationship, and a lower degree of deviation, and received warrants market prices with the theoretical existence of significant price differences. Pricing formula that warrants on the market in China is very good value, but also warrants market is very speculative.