The Empirical Study on Taiwan Warrant Market under Transaction Costs -Comparisons among Three Pricing Models
碩士 === 淡江大學 === 財務金融學系 === 90 === The purpose of this thesis is to investigate the options pricing model which takes transaction costs into account. We compare the difference of the three models, Boyle and Vorst (BV,1992), Cox、Ross and Rubinstein (CRR,1979) and adaptive mesh model (AMM,1999), while...
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ndltd-TW-090TKU003040242016-06-24T04:14:53Z http://ndltd.ncl.edu.tw/handle/98948110596786463785 The Empirical Study on Taiwan Warrant Market under Transaction Costs -Comparisons among Three Pricing Models 交易成本下三種台灣認購權證訂價模型之實證比較 Yi -Chuan Huang 黃奕銓 碩士 淡江大學 財務金融學系 90 The purpose of this thesis is to investigate the options pricing model which takes transaction costs into account. We compare the difference of the three models, Boyle and Vorst (BV,1992), Cox、Ross and Rubinstein (CRR,1979) and adaptive mesh model (AMM,1999), while valuing the price of standard warrants and barrier warrants. The results show that there are not significant differences between theoretical price and market price when we use the three models to value the price of standard warrants. But when we use the three models to value the price of barrier warrants, AMM is obviously better than CRR Model. Otherwise, the degree of “in the money” or “out of the money” at which the warrants are will also affect the performance of the model while valuing the price. When the warrants are in the money in the long run, the pricing percent deviation between theoretical price and market price is not significant , but when the warrants are out of the money in the long run , the pricing percent deviation between theoretical price and market price is obviously significant. William T. Lin 林蒼祥 2002 學位論文 ; thesis 75 zh-TW |
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碩士 === 淡江大學 === 財務金融學系 === 90 === The purpose of this thesis is to investigate the options pricing model which takes transaction costs into account. We compare the difference of the three models, Boyle and Vorst (BV,1992), Cox、Ross and Rubinstein (CRR,1979) and adaptive mesh model (AMM,1999), while valuing the price of standard warrants and barrier warrants. The results show that there are not significant differences between theoretical price and market price when we use the three models to value the price of standard warrants. But when we use the three models to value the price of barrier warrants, AMM is obviously better than CRR Model. Otherwise, the degree of “in the money” or “out of the money” at which the warrants are will also affect the performance of the model while valuing the price. When the warrants are in the money in the long run, the pricing percent deviation between theoretical price and market price is not significant , but when the warrants are out of the money in the long run , the pricing percent deviation between theoretical price and market price is obviously significant.
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William T. Lin |
author_facet |
William T. Lin Yi -Chuan Huang 黃奕銓 |
author |
Yi -Chuan Huang 黃奕銓 |
spellingShingle |
Yi -Chuan Huang 黃奕銓 The Empirical Study on Taiwan Warrant Market under Transaction Costs -Comparisons among Three Pricing Models |
author_sort |
Yi -Chuan Huang |
title |
The Empirical Study on Taiwan Warrant Market under Transaction Costs -Comparisons among Three Pricing Models |
title_short |
The Empirical Study on Taiwan Warrant Market under Transaction Costs -Comparisons among Three Pricing Models |
title_full |
The Empirical Study on Taiwan Warrant Market under Transaction Costs -Comparisons among Three Pricing Models |
title_fullStr |
The Empirical Study on Taiwan Warrant Market under Transaction Costs -Comparisons among Three Pricing Models |
title_full_unstemmed |
The Empirical Study on Taiwan Warrant Market under Transaction Costs -Comparisons among Three Pricing Models |
title_sort |
empirical study on taiwan warrant market under transaction costs -comparisons among three pricing models |
publishDate |
2002 |
url |
http://ndltd.ncl.edu.tw/handle/98948110596786463785 |
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