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  • AU Journal of Management: Vol. 5, No. 2 (2007)
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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
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  • AU Journal of Management: Vol. 5, No. 2 (2007) [5]


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Copyright © Assumption University.
All Rights Reserved.

Contact Us

The St. Gabriel's Library   
Hua Mak Campus  
Ramkhamhaeng 24, Hua Mak  
Bangkok Thailand 10240  
Tel.: (662) 3004543-62 Ext. 3402  
Fax.: (662) 7191544  
E-Mail Library : library@au.edu  


The Cathedral of Learning Library
Suvarnabhumi Campus
Bang Na-Trad Km. 26 Bangsaothong
Samuthprakarn Thailand 10540
Tel.: (662) 7232024, 7232025
Fax.: (662) 7191544
E-Mail Library : library@au.edu
 

 

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