Data:2009-12-12 2:34
Category: Money tips Release Date: 2006-04-19
December 23, 2005, 2.4 million copies of Baiyun Airport, American-style put warrants (referred to as the airport JTP1, code 580,998) in the SSE traded, which is the implementation of stock market reform in China after the first warrant only to American-style warrants.
American-style warrant is the holder at any time prior to maturity have the right to the sale of the underlying securities, such as the Baiyun Airport put warrant is exercisable at a period of 3 months warrants listed on the first trading day after the due date to warrant any one of the only business days.
The European warrant refers to the holder only agreed maturity date have the right to the sale of the underlying securities, such as the current market in several European-style warrants can only be maintained for renewal of expired warrants on the right to be OK.
Internationally accepted Black-Scholes model because the model assumes the restrictions can only be used for pricing European-style warrants. Warrants for the American path-dependent pricing of financial derivatives, international common binary tree model.
Binary tree model assumes that only the upward and downward price fluctuations in both directions, and assume that the entire study period, the share price every time up (or down) the probability and magnitude of fluctuations in the same. Model the duration of study is divided into several phases, according to the historical stock price volatility is being simulated in the whole duration of the shares of all possible paths of development, and each path of each node in the calculation warrant is exercisable for benefits and use the discount method to calculate the price of the warrants. For the American-style warrants, since they can move ahead of the right, each node on the theoretical warrant price should be OK for the warrants the right to calculate the benefits and discounted prices of both the greater of the warrants. As the American than the European-style warrant holder warrant holder the right to have more opportunities for the line, so American-style warrant theoretical price is higher than European-style warrants.