|This study analyzes the price behavior of barrier warrants, and also estimates the level of volatility markup while the firm issuing the barrier warrants. Both the up-and-out call warrants and the down-and-out put warrants are selected to be our research samples. The results show that the analytical barrier option pricing method of Rubinstein and Reiner (1991) has significant pricing errors. With its flexibility of combining the notes and the trigger price, Markov chain option pricing algorithm presents better pricing performance. However, Markov chain option pricing algorithm still significantly underprices the barrier warrants, and the explanatory factors include monyness, maturity, liquidity of the warrant, and also the volatility markup. Therefore, the study takes the theoretic price induced from Markov chain option pricing algorithm as a benchmark, and estimates that the volatility markup is around 10% to 25%.