Abstract: In this paper, we discuss the price of warrants in the warrant-bonds according to the neutral-risky pricing principle. This is a simple Bermudan warrants. Considering a complete market, in accordance with the principle of maximizing the return and the martingale pricing principle, we get a theoretical price of this warrant. At last, we briefly discuss its conversion strategy.

Key words: warrant-bond, warrants, Bermudan, neutral-risk