Browsing AU Journal of Management: Vol. 5, No. 2 (2007) by Subject "Stock warrants"
Now showing items 1-2 of 2
(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 ...
Warrant pricing model : an empirical study on the valuation models for warrants listed in Thailand (Assumption University, 2007)
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 ...