Browsing by Subject "Options (Finance) -- Prices"
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(Assumption University, 2008)
Choosing the right pricing approach is the key to deriving the true derivatives prices. This paper aims to compare the pricing performance of the cost of carry model and the imperfect market model in pricing the SET 50 index futures prices. This study replicates the study of Wang (2007) that compares the futures pricing performances of the cost of carry model and the imperfect market model in the Stock Exchanges of Japan, Hong Kong, Korea, and Taiwan. By using the mean percent- age errors and the mean absolute ...