This paper, based on the reality of opening forward buying - selling foreign exchange market after the reform of RMB exchange rate mechanism, draws a conclusion that immature market and unreasonable pricing are the most important factors during the market development. By analyzing the relative of amount and pricing of forward buying - selling foreign exchange and following the frameworks of Black - Scholes model, we build up pricing model of forward buying - selling foreign exchange to analyze the efficiency of immature market and put forward some relative suggestions.