The Empirical Analysis Of Henry Pang’s Option Pricing Model

The stock market has always been a place of high risk and high income."Reason-able investment,risk aversion" is the most for investors.Financial derivatives has been used by investors to hedge risks.Warrants,has been traded in China domestic financial market.It enrich the trading strategies of investors,make financial means more flexible.Warrants can be used to hedge risk,but at the same time,its itself is risky.The paper uses Henry Pang’s option pricing model to do research.By comparing the difference of the theoretical price and the market price of Baogang warrants CWB1,we concludes that the model has a certain rationality,but it also has some shortcomings.By the price deviation,we found that although there is some deviation between the theoretical price and the actual price,it is controlled within 30%.With the increase of price,there is a certain decrease of the deviation.