Warrant pricing model : an empirical study on the valuation models for warrants listed in Thailand

au.identifier.bibno 0021-0599
au.link.externalLink [Full Text](https://aujm.au.edu/index.php/aujm/article/view/116/97)
dc.contributor.author Ekkachai Boonchuaymetta
dc.contributor.author Treerapot Kongtoranin
dc.contributor.other Assumption University. Martin de Tours School of Management and Economics
dc.date.accessioned 2015-07-03T08:01:12Z
dc.date.available 2015-07-03T08:01:12Z
dc.date.issued 2007
dc.description In English ; only abstract in English.
dc.description.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.
dc.format.mimetype application/pdf
dc.identifier.citation AU Journal of Management 5, 2 (July-December 2007), 56-66
dc.identifier.uri https://repository.au.edu/handle/6623004553/14328
dc.language.iso eng
dc.publisher Assumption University
dc.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.
dc.subject AU Journal of Management
dc.subject AU Journal of Management -- 2007
dc.subject.other Assumption University -- Periodicals
dc.subject.other Stock warrants
dc.subject.other Stock options
dc.title Warrant pricing model : an empirical study on the valuation models for warrants listed in Thailand en_US
dc.type Text
mods.genre Journal Article
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