Empirical study of black-scholes warrant pricing model on the stock exchange of Malaysia

Hong, Boon Kyun (2004) Empirical study of black-scholes warrant pricing model on the stock exchange of Malaysia. Masters thesis, Universiti Sains Malaysia.

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    Abstract

    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.

    Item Type: Thesis (Masters)
    Subjects: H Social Sciences > HF Commerce > HF5001-6182 Business
    Divisions: Pusat Pengajian Siswazah Perniagaan (Graduate School of Business)
    Depositing User: Mr. HR
    Date Deposited: 24 Jul 2012 10:39
    Last Modified: 13 Jul 2013 18:10
    URI: http://eprints.usm.my/id/eprint/25755

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