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dc.contributor.authorPhassawan Suntraruk
dc.contributor.otherAssumption University. Martin de Tours School of Management and Economics
dc.date.accessioned2015-07-03T08:01:10Z
dc.date.available2015-07-03T08:01:10Z
dc.date.issued2007
dc.identifier.citationAU Journal of Management 5, 2 (July-December 2007), 44-55
dc.identifier.urihttp://repository.au.edu/handle/6623004553/14324
dc.descriptionIn English ; only abstract in English.
dc.description.abstractThe 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.
dc.format.mimetypeapplication/pdf
dc.language.isoeng
dc.publisherAssumption University
dc.rightsThis work is protected by copyright. Reproduction or distribution of the work in any format is prohibited without written permission of the copyright owner.
dc.subjectAU Journal of Management
dc.subjectAU Journal of Management -- 2007
dc.subject.otherAssumption University -- Periodicals
dc.subject.otherOptions (Finance) -- Prices -- Mathematical models
dc.subject.otherStock warrants
dc.subject.otherStock warrants -- Valuation -- Mathematical models
dc.titleThe valuation of warrants in Thailand : using the black-scholes model
dc.typeText
mods.genreJournal Article
au.identifier.bibno0021-0595
au.link.externalLink[Full Text](https://aujm.au.edu/index.php/aujm/article/view/115)


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