Pricing Analysis on American Put Warrants
碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 100 === This study compares pricing models of the SVSI (Stochastic Volatility and Stochastic Interest) and DVDI (Deterministic Volatility and Deterministic Interest). For numerical analysis, the result shows that the pricing error of SVSI is smaller than the error of...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/58993129531897291611 |
| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 100 === This study compares pricing models of the SVSI (Stochastic Volatility and Stochastic Interest) and DVDI (Deterministic Volatility and Deterministic Interest). For numerical analysis, the result shows that the pricing error of SVSI is smaller than the error of DVDI. Next, we take the market data of American put warrant to estimate the parameters of models and analyze the pricing performance. Empirical results reveal that the performance of SVSI is better than DVDI. Hence the SVSI model takes an advantage of American put warrant to the DVDI. Furthermore, the SVSI model provides a better decision for the investment and hedging of the investors and the risk management of the companies.
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