Category: Money tips Release Date: 2006-04-14
Open Reference Price: 0.688 yuan
According to reports, the Shanghai Stock Exchange, Baosteel has been determined to warrant opening reference price of 0.688 yuan. The opening created is based on the reference price: According to Baosteel in 2005 for the first time adopted by the EGM-tradable share reform program of the main provisions of warrants related content, according to Black-Scholes formula for selecting the relevant parameters to determine the theoretical value of Baosteel Warrants is 0.688 yuan, as the opening reference price. Selected relevant parameters are as follows: Warrant exercise price of 4.50 yuan, warrants the remaining duration of 374 days (from today), risk-free yield of 3.30% (refer to 7-year bond yield to maturity), the underlying stock closed Friday at Baosteel price of 4.62 yuan, the underlying stock volatility 30.10% (based on the most recent year history of stock price volatility estimate).
But the opening reference price is calculated according to the pricing model out of the theoretical price is only used to calculate the date of Baosteel Warrants up decreases the benchmark does not represent the actual opening price or the guide price, the actual opening price bid by investors associated with the transaction.
Up, how to calculate the daily limit price
Accordance with the relevant trading rules, warrants trading is up daily limit restrictions. It is estimated that the first day of Baosteel Warrants limit-price of 1.2655 yuan, lower limit price of 0.1105 yuan. Warrant prices rose fell by the following formula:
Warrants or the price = closing price the day before the C of E + (the date of the underlying securities or the price - the underlying stock's closing price the day before) × 125% × line power ratio;
= Warrants Warrants Price declines the previous day closing price - (underlying stock closing price the day before - the day the underlying securities decline in price) × 125% × line of the right proportion, when the calculation is less than zero, the warrants decline in the price to zero.
Baosteel Warrants today's rise in the calculation of daily limit to 0.688 yuan for Baosteel Warrants today's opening reference price as the previous day's closing price of C of E, G Baosteel August 19 closing price of 4.62 yuan, as the underlying stock's closing price the day before, Underlying G Baosteel price limit of 10%, the ratio of a power line. Therefore, Baosteel Warrants today's daily limit price = 0.688 + (4.62 × 1.1-4.62) × 125% × 1 = 1.2655 (yuan); Baosteel warrants today's lower limit price = 0.688-(4.62-4.62 × 0.9) × 125% × a = 0.1105 (million). (LIANG Hui-yuan)