Browsing by Subject "Stock warrants -- Valuation -- Mathematical models"
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    The valuation of warrants in Thailand : using the black-scholes model
    (Assumption University, 2007) Phassawan Suntraruk ; Assumption University. Martin de Tours School of Management and Economics
    The 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.