Because the option pricing model (such as BS model) gives the quantitative relationship between the option price and five basic parameters (underlying stock price, exercise price, interest rate, expiration time and volatility), as long as the first four basic parameters and the actual market price of the option are substituted into the pricing formula as known quantities, the only unknown quantity can be solved, and its size is implied volatility.
We know that the theoretical price of standard European warrants can be calculated by B-S formula. In the B-S formula, there are six parameters: warrant price C or P, stock price S, exercise price X, remaining period (T-t), risk-free rate of return R and volatility σ. The specific formula is as follows:
Of these six parameters, if the values of five parameters are known, the value of the sixth parameter can be solved by B-S formula. Although some parameters can't get explicit analytical expressions, they can be solved by numerical algorithm. ?
That is to say, for a specific warrant, according to the five parameters of the warrant price C or P, the stock price S, the exercise price X, the remaining period (T-t) and the risk-free rate of return R in the existing market, we can deduce the conditional implied volatility, which is often called implied volatility or extended volatility. ?
Yes 100%-200%, and the theoretical value of warrants (3.698 yuan) is calculated by the volatility (100%+200%)/2 =150%. If it is found to be greater than the market price, the implied volatility range will be changed to 100%-650 again. Although this method is troublesome to calculate by hand, the results can be calculated quickly and accurately through computer programs (such as VB, SAS, etc.). )