Empirical study of black-scholes warrant pricing model on the stock exchange of Malaysia
This paper addresses the question of how well the best-known warrant/ option pricing model – the Black-Scholes model – work in the stock exchange of Malaysia. Results of most studies (Rubinstein, 1981; Geske, Roll, & Shastri, 1983; Scott, 1987) have been positive in that the Black-Scholes model...
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2004
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| Online Access: | http://eprints.usm.my/25755/1/EMPIRICAL_STUDY_OF_BLACK-SCHOLES_WARRANT_PRICING_MODEL_ON_THE_STOCK_EXHANGE_OF_MALAYSIA.pdf |
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my-usm-ep.257552017-04-17T06:24:25Z Empirical study of black-scholes warrant pricing model on the stock exchange of Malaysia 2004 Hong, Boon Kyun HF5001-6182 Business This paper addresses the question of how well the best-known warrant/ option pricing model – the Black-Scholes model – work in the stock exchange of Malaysia. Results of most studies (Rubinstein, 1981; Geske, Roll, & Shastri, 1983; Scott, 1987) have been positive in that the Black-Scholes model generates warrant values fairly close to the actual prices at which warrants trade especially for shorter term maturity warrants. Nevertheless, some regular empirical failures of the model have been noted (Macbeth & Merville, 1980; Lauterbach & Schultz, 1990). The Black-Scholes model tends to overvalue ‘in-the-money’ warrants and undervalue ‘out-of-the-money’ warrants. 2004 Thesis http://eprints.usm.my/25755/ http://eprints.usm.my/25755/1/EMPIRICAL_STUDY_OF_BLACK-SCHOLES_WARRANT_PRICING_MODEL_ON_THE_STOCK_EXHANGE_OF_MALAYSIA.pdf application/pdf en public masters Universiti Sains Malaysia Pusat Pengajian Siswazah Perniagaan |
| institution |
Universiti Sains Malaysia |
| collection |
USM Institutional Repository |
| language |
English |
| topic |
HF5001-6182 Business |
| spellingShingle |
HF5001-6182 Business Hong, Boon Kyun Empirical study of black-scholes warrant pricing model on the stock exchange of Malaysia |
| description |
This paper addresses the question of how well the best-known warrant/ option pricing model – the Black-Scholes model – work in the stock exchange of Malaysia. Results of most studies (Rubinstein, 1981; Geske, Roll, & Shastri, 1983; Scott, 1987) have been positive in that the Black-Scholes model generates warrant values fairly close to the actual prices at which warrants trade especially for shorter term maturity warrants. Nevertheless, some regular empirical failures of the model have been noted (Macbeth & Merville, 1980; Lauterbach & Schultz, 1990). The Black-Scholes model tends to overvalue ‘in-the-money’ warrants and undervalue ‘out-of-the-money’ warrants. |
| format |
Thesis |
| qualification_level |
Master's degree |
| author |
Hong, Boon Kyun |
| author_facet |
Hong, Boon Kyun |
| author_sort |
Hong, Boon Kyun |
| title |
Empirical study of black-scholes warrant pricing model on the stock exchange of Malaysia |
| title_short |
Empirical study of black-scholes warrant pricing model on the stock exchange of Malaysia |
| title_full |
Empirical study of black-scholes warrant pricing model on the stock exchange of Malaysia |
| title_fullStr |
Empirical study of black-scholes warrant pricing model on the stock exchange of Malaysia |
| title_full_unstemmed |
Empirical study of black-scholes warrant pricing model on the stock exchange of Malaysia |
| title_sort |
empirical study of black-scholes warrant pricing model on the stock exchange of malaysia |
| granting_institution |
Universiti Sains Malaysia |
| granting_department |
Pusat Pengajian Siswazah Perniagaan |
| publishDate |
2004 |
| url |
http://eprints.usm.my/25755/1/EMPIRICAL_STUDY_OF_BLACK-SCHOLES_WARRANT_PRICING_MODEL_ON_THE_STOCK_EXHANGE_OF_MALAYSIA.pdf |
| _version_ |
1747819960128765952 |