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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
Subjects:
HF5001-6182 Business
Online Access:http://eprints.usm.my/25755/1/EMPIRICAL_STUDY_OF_BLACK-SCHOLES_WARRANT_PRICING_MODEL_ON_THE_STOCK_EXHANGE_OF_MALAYSIA.pdf
http://eprints.usm.my/25755/
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spelling my.usm.eprints.25755 http://eprints.usm.my/25755/ Empirical study of black-scholes warrant pricing model on the stock exchange of Malaysia 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 NonPeerReviewed application/pdf en http://eprints.usm.my/25755/1/EMPIRICAL_STUDY_OF_BLACK-SCHOLES_WARRANT_PRICING_MODEL_ON_THE_STOCK_EXHANGE_OF_MALAYSIA.pdf Hong, Boon Kyun (2004) Empirical study of black-scholes warrant pricing model on the stock exchange of Malaysia. Masters thesis, Universiti Sains Malaysia.
institution Universiti Sains Malaysia
building Hamzah Sendut Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Sains Malaysia
content_source USM Institutional Repository
url_provider http://eprints.usm.my/
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
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
publishDate 2004
url http://eprints.usm.my/25755/1/EMPIRICAL_STUDY_OF_BLACK-SCHOLES_WARRANT_PRICING_MODEL_ON_THE_STOCK_EXHANGE_OF_MALAYSIA.pdf
http://eprints.usm.my/25755/
_version_ 1643705936575987712
score 13.154949

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