Subscription Warrant Pricing Based on Stochastic Simulation and Black-Scholes Model

The innovation of subscription warrant plays an important role in capital market because of its significant functions of Option price-detection and risk-evasion. An empirical analysis was conducted based on Black-Scholes option pricing model and stochastic simulation. The stock price was forecasted from Monte Carlo simulation through using stochastic Brownian motion as the assumption of price change. To investigate the accuracy of warrant pricing, ten warrants were randomly selected for the empirical study. The results show that the market fair value is higher than the expected price derived from the model, but it is gradually reaching a convergence to the expected value with the development of capital market.