Browsing AU Journal of Management: Vol. 5, No. 2 (2007) by Author "Phassawan Suntraruk"
Phassawan Suntraruk (Assumption University, 2007)
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 ...