Category: Money tips Release Date: 2007-06-29
Warrant pricing model takes account of the situation warrants, and gives the model derived pricing formulas for put warrants, the warrants, knowing the corresponding pricing, you can put by the warrant and the warrant of the parity A simple projection, the draw put warrants pricing formula.
1, Call - Put parity
Pairs with the same underlying securities (current value recorded as P0), the exercise price (denoted as X), row of the right proportion (as a simple, assumed to be 1:1), the same maturity date (assuming the due date of the risk-free borrowing rate for the R ), the same settlement of European subscription, put warrants, we first consider the following two kinds of investment strategies, profit and loss state (remember the price of warrants for the Pc, the price of put warrants Pp):
Two kinds of investment strategies from the end of the profit and loss side, no matter how the price of maturity changes in the underlying securities, they all have the same revenue results, therefore, if the market there is no risk-free arbitrage, then the case, strategy A and strategy B is the completely equivalent, namely: Pp + P0 = Pc + X / (1 + R).
Call warrants and put warrants such a relationship between the price to become: Call - Put parity.
2, a simple example of
To Baosteel Warrants, for example, assume that an institution Baosteel shares issued put warrants, the exercise price (4.53 million), expiration date, the right line of the ratio of settlement with the current market transactions, warrants the same as Baosteel, which put the successful listing of warrants and conduct transactions. Assumed to match the maturity risk-free rate of 4%, you can calculate the put warrants the price?
To September 23 to close at Baoshan Iron & Steel, Baoshan Iron and Steel warrants the price of 4.31,1.103 yuan, based on calculations using the above formula can be drawn from the price of Baosteel put warrants as follows:
Pc + X / (1 + R) - P0 = 1.103 +4.53 / (1 +4%) - 4.31
= 1.149 yuan.
You will not feel the price is too high then? Such a high price shows what is the problem? Hope that investors are able to find the correct interpretation of its own.
