Warrant pricing model : an empirical study on the valuation models for warrants listed in Thailand
by Ekkachai Boonchuaymetta; Treerapot Kongtoranin
Title: | Warrant pricing model : an empirical study on the valuation models for warrants listed in Thailand |
Author(s): | Ekkachai Boonchuaymetta
Treerapot Kongtoranin |
Contributor(s): | Assumption University. Martin de Tours School of Management and Economics |
Issued date: | 2007 |
Publisher: | Assumption University |
Citation: | AU Journal of Management 5, 2 (July-December 2007), 56-66 |
Abstract: |
This 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. |
Description: |
In English ; only abstract in English. |
Subject(s): | Assumption University -- Periodicals
Stock warrants Stock options |
Keyword(s): | AU Journal of Management
AU Journal of Management -- 2007 |
Resource type: | Journal Article |
Type: | Text |
File type: | application/pdf |
Language: | eng |
Rights: | This work is protected by copyright. Reproduction or distribution of the work in any format is prohibited without written permission of the copyright owner. |
URI: | http://repository.au.edu/handle/6623004553/14328 |
Files in this item (EXCERPT) |
|
View auj-management-abstract-14328.pdf ( 155.40 KB ) |
This item appears in the following Collection(s) |
|