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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Main Author: Hong, Boon Kyun
Format: Thesis
Language:English
Published: 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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spelling 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
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