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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| Format: | Thesis |
| Language: | English |
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2004
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| Online Access: | http://eprints.usm.my/25755/ |
| Abstract | Abstract here |
| _version_ | 1854966751720112128 |
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| author | Hong, Boon Kyun |
| author_facet | Hong, Boon Kyun |
| author_sort | Hong, Boon Kyun |
| 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. |
| first_indexed | 2025-10-17T07:59:18Z |
| format | Thesis |
| id | usm-25755 |
| institution | Universiti Sains Malaysia |
| language | English |
| last_indexed | 2025-10-17T07:59:18Z |
| publishDate | 2004 |
| record_format | eprints |
| record_pdf | Abstract |
| spelling | usm-257552017-04-17T06:24:25Z 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. |
| spellingShingle | HF5001-6182 Business Hong, Boon Kyun Empirical study of black-scholes warrant pricing model on the stock exchange of Malaysia |
| title | 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_short | 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 |
| topic | HF5001-6182 Business |
| url | http://eprints.usm.my/25755/ |
| work_keys_str_mv | AT hongboonkyun empiricalstudyofblackscholeswarrantpricingmodelonthestockexchangeofmalaysia |