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.
Judging whether the warrant price is on the high side mainly depends on the relationship between implied volatility (called extended volatility in Hong Kong) and historical volatility of stocks. Implied volatility is the market's expectation of the future volatility of related assets (stocks or indexes), which changes in the same direction as the warrant price. Generally speaking, implied volatility will not be equal to historical volatility, but it should be similar.
The implied volatility is calculated by substituting the warrant price into the BS model, which reflects investors' expectation of the future volatility of the underlying securities. At present, there are no other Guodian power warrants in the market, so it is impossible to obtain the reference data of Guodian power's future volatility expectation. Therefore, investors can refer to the historical volatility when calculating the theoretical value of Guodian power warrants (the observation sample can be the last year). In general, volatility, as an attribute of stock, is not easy to change greatly. However, if investors expect the volatility of the underlying securities to increase or decrease slightly in the future, they can increase or decrease appropriately on the basis of historical volatility as the volatility parameter of the input calculator.