Browsing by Subject "Stock warrants"
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ItemDead stock reduction by the DMAIC concept : a case of construction fittings trading company(Bangkok : Assumption University, 2013) Thita Lertanantasuk ; Thanapat Panthanapratez
ItemThe valuation of warrants in Thailand : using the black-scholes model(Assumption University, 2007) Phassawan Suntraruk ; Assumption University. Martin de Tours School of Management and EconomicsThe study aims to examine the appropriate pricing model for valuating wa"ants traded on the Stock Exchange of Thailand. The Black-Scholes model and its extensions are examined with historical and GARCH volatilities by using the out-of-sample data. The relationships between pricing errors and model variables are also analyzed. Findings suggest that the dilution adjusted Black--Scholes model with historical volatility is the most suitable model to predict the wa"ant prices and most pricing models tend to overprice in-the-money wa"ants and overprice wammts when high volatility or high interest rate is anticipated. In addition, the dividend and dilution somewhat create pricing biases.
ItemWarrant pricing model : an empirical study on the valuation models for warrants listed in Thailand(Assumption University, 2007) Ekkachai Boonchuaymetta ; Treerapot Kongtoranin ; Assumption University. Martin de Tours School of Management and EconomicsThis empirical study focwes on examining the relative performance between four wa"ant pric- ing models; Black-Scholes-Merton Model (BS), Galai and Schneller Model (GS), a Dilution Adjusted- BlacJc -Scholes Model (DA.BS), and Square-Root Constant Elasticity of Variance (SRCEV) of Beclrers. Over 8,000 daily wa"ant prices on 14 most actively traded wa"ants in Thailand are employed. We.find that among models, BS model provides the best accuracy. In terms of moneyness and maturity, BS model calculates accurately for out-of-the-money and short-term maturity, while the SRCEV model outperforms for in-the-money and long-term maturity. In terms of volatility, DABS, GS and SRCEV models are better than the BS model.