Warrant pricing model : an empirical study on the valuation models for warrants listed in Thailand
Warrant pricing model : an empirical study on the valuation models for warrants listed in Thailand
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2007
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Assumption University
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eng
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Assumption University. Martin de Tours School of Management and Economics
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AU Journal of Management 5, 2 (July-December 2007), 56-66
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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.
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In English ; only abstract in English.
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