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Warrant Prices in the Context of the Option Pricing Model and the Efficiency of the New York Stock Exchange

Warrant Prices in the Context of the Option Pricing Model and the Efficiency of the New York Stock Exchange PDF Author: Douglas MacLennan Patterson
Publisher:
ISBN:
Category : New York (N.Y.)
Languages : en
Pages : 406

Book Description

Warrant Prices in the Context of the Option Pricing Model and the Efficiency of the New York Stock Exchange

Warrant Prices in the Context of the Option Pricing Model and the Efficiency of the New York Stock Exchange PDF Author: Douglas MacLennan Patterson
Publisher:
ISBN:
Category : New York (N.Y.)
Languages : en
Pages : 406

Book Description

Warrant Prices in the Concept of the Option Pricing Model

Warrant Prices in the Concept of the Option Pricing Model PDF Author: Douglas MacLennan Patterson
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 396

Book Description

Dissertation Abstracts International

Dissertation Abstracts International PDF Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 640

Book Description

American Doctoral Dissertations

American Doctoral Dissertations PDF Author:
Publisher:
ISBN:
Category : Dissertation abstracts
Languages : en
Pages : 568

Book Description

Comprehensive Dissertation Index: Business & economics, A-K

Comprehensive Dissertation Index: Business & economics, A-K PDF Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 808

Book Description

Comprehensive Dissertation Index

Comprehensive Dissertation Index PDF Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 978

Book Description

A Revisit to the Applicability of Option Pricing Models on the Hong Kong Warrants Market After the Stock Option Is Introduced

A Revisit to the Applicability of Option Pricing Models on the Hong Kong Warrants Market After the Stock Option Is Introduced PDF Author: Yue-Kwong Lam
Publisher:
ISBN: 9781361179604
Category :
Languages : en
Pages :

Book Description
This dissertation, "A Revisit to the Applicability of Option Pricing Models on the Hong Kong Warrants Market After the Stock Option is Introduced" by Yue-kwong, Lam, 林宇光, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. DOI: 10.5353/th_b3126728 Subjects: Options (Finance) Stock warrants - Mathematical models Stocks - Prices - China - Hong Kong

Call Option Pricing Model and Recovery Theorem

Call Option Pricing Model and Recovery Theorem PDF Author: Huy Hoang Vu
Publisher:
ISBN:
Category :
Languages : en
Pages : 26

Book Description
Warrant is normally priced on the basis of Black and Scholes' model, which refers to calculations in a risk neutral world. Hence, it neither captures the market expectation nor being a good reference for the risk management process. This study examines a new way of pricing warrants under the real world probability by utilizing the recovered Vacisek short rate model. Applying Carr and Yu's recovery model, an extended version of Ross Recovery Theorem, we managed to recover the Vasisek process. Then, suppose that the economy is driven by this recovered Vacisek process, we point out a valuation model for the warrant of an underlying stock. We deduce that by applying the recovered Vacisek model we can derive the warrant price under the real world probability without the assumption of the market price of risk as in the risk neutral model.

Option Pricing

Option Pricing PDF Author: Menachem Brenner
Publisher: Free Press
ISBN:
Category : Business & Economics
Languages : en
Pages : 264

Book Description

Option Pricing in the Presence of Warrants

Option Pricing in the Presence of Warrants PDF Author: Georgia Lekkas
Publisher:
ISBN:
Category : Pricing
Languages : en
Pages : 0

Book Description
This study estimates option prices via a recombining binomial tree incorporating the effect of warrant dilution on the capital structure of the firm (Warrant Dilution Option-Pricing model--WDOP). The binomial lattice is constructed on the value of the firm under the assumption of constant volatility of the rate of return of the firm value. The mean percentage prediction error and the mean absolute value of the mean prediction error indicate that the predicted option prices deviate significantly from the observed option prices. The weak predicting performance of the WDOP model doesn't seem to follow a systematic pattern. This is true even when the sample is divided into subcategories based on option moneyness, and option and warrant life. We tested the WDOP model with one parameter, the volatility of the rate of return of the firm value, estimated out-of-sample. We compare the WDOP model with the Black Schole option-pricing model (hereafter B/S) applied to the options without taking into account the equity dilution effect. Finally, we calculate the warrant prices throughout the sample.
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