The valuation of warrants in Thailand : using the black-scholes model

au.identifier.bibno 0021-0595 [Full Text]( Phassawan Suntraruk
dc.contributor.other Assumption University. Martin de Tours School of Management and Economics 2015-07-03T08:01:10Z 2015-07-03T08:01:10Z 2007
dc.description In English ; only abstract in English.
dc.description.abstract 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 wa"ants and overprice wammts when high volatility or high interest rate is anticipated. In addition, the dividend and dilution somewhat create pricing biases.
dc.format.mimetype application/pdf
dc.identifier.citation AU Journal of Management 5, 2 (July-December 2007), 44-55
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 Options (Finance) -- Prices -- Mathematical models
dc.subject.other Stock warrants
dc.subject.other Stock warrants -- Valuation -- Mathematical models
dc.title The valuation of warrants in Thailand : using the black-scholes model en_US
dc.type Text
mods.genre Journal Article
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