| As one of the most commonly used derivatives in modern financial innovation,warrants are widely favored by investors and listed companies for its convenien-t financing,high risk and high leverage.And with the rapid development of the financial market,the combination of financial instruments such as warrants and bonds also creates a lot of financial products with different risk and return charac-teristics.As a result,warrants have become the first choice for financial derivatives trading in emerging markets.Therefore,how to use a reasonable and scientific method for the financial derivatives products that have been introduced or will be introduced to the market has become the most important task for the steady development of the market.The pricing of warrants not only has a guiding significance for the market,but also lays a good theoretical foundation for the pricing of derivatives.This paper is based on the Black-Scholes pricing model,the stochastic interest rate pricing problem is considered,the trinomial tree pricing model combined with the method of American option pricing model is used,the recursive formula of American warrants price,and the recursive formula of American option pricing with repurchase and ex dividend are obtained,which lays the foundation for the study of debt to equity swap.So far,scholars at home and abroad have made great achievements in the theory and empirical research on warrant pricing,but there are still some problems that need to be studied deeply.The perfect warrants pricing formulas are based on the continuous model with constant interest rate and volatility,in particular,the pricing of warrants by scholars in our country is in the initial stage both in theory and practice,and there is no systematic test and analysis on the pricing effect of American warrants.Moreover,compared with the developed countries,China's financial products are single,the risk of financial market is too large,and the problems of hedging tools are becoming more and more serious. |
PDF Full Text Request