Listed Companies Put Warrants Pricing Issues

Since 2005, China has carried out its reform of non-tradable shares. As one of the means for non-tradable shareholders to put their shares tradable, put warrants were issued and came into market. With attention to the sharp fluctuation of the price of put warrants, scholars analyzed the pricing and fluctuation with implied volatility. In 2006, there is also research on the fluctuation with the co-integration approach. However, these researches are data insufficient and with small samples.With studies on the above problem, the thesis summaries the pricing method of seventeen sample put warrants and analyze the relations between the put warrants and the shares with their price data from the issuing date to Dec.31,2006 in a co-integration approach. The thesis is arranged in four parts: the first part introducing the background of the thesis and its innovation and insufficient. The second part introduces the reform of non-tradable shares, the reason to issue the put warrants and the development of the put warrants in China; the third part summarizing the theories of warrants pricing, analyzing the pricing method of the internal put warrants and the relations between the put warrants and the shares in a co-integration approach, which is also used in the analyzing into the relations between call warrants and put warrants; the fourth part discuss the future development strategy of the put warrants in China.The conclusion of the thesis contains: before the issuing, the seventeen put warrants all got pricing on the basis of B-S pricing model, however, their market prices are not coincident with their prices in theory; after their coming into the market, there were only five out of seventeen put warrants hold steady relations with its relative shares; in the circumstance where there are call warrants companying, co-integration analysis shows inconspicuous relations between the call warrants and put warrants. With the above research, we take that the put warrants in stock market of China are high ventured with weak functions in eliminating the risk of price fluctuate of its relative shares, which is coincident to the results of the research of internal scholars.