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1
Chow, Wai-keung. "The pricing of Hong Kong wattants : an empirical study of the performance of the Kassouf, Black-Scholes and constant elasticity variance option pricing models /." [Hong Kong] : University of Hong Kong, 1993. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13787184.
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Andreé, Back Joakim. "Information efficiency of Swedish warrants- : Empirical tests of warrants quoted on the Swedish plain vanilla market." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Nationalekonomi, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-16066.
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Due to the sharpen regulation of the Swedish plain vanilla warrant in 2006 and the recent increase in trade among private investors, this thesis examined the informa-tion efficiency of Swedish plain vanilla warrants. This was done in three different ways. First the theoretical Black & Scholes (B&S) price was tested against the ac-tual market price. Secondly likelihood ratio test statistics was used to see whether information regarding past returns added any information to that already captured by the implied volatility (IV) generated from observed warrant market prices via the B&S model. The third method used was a comparison of the IV´s among com-parable warrants. As the regulation of the Swedish plain vanilla warrant market states that only certified issuer are allowed short calls and puts, the self adjusting price mechanism found in the option market doesn’t exist on this market. As a con-sequence of this, investors on this market is reliant of accurate ask and bid prices from the issuers. Further, the information efficiency of a capital market is of es-sence for capital allocation, price discovery and risk management. The results from all three tests rejected the information efficiency hypothesis of the sample. Thus concluding that the included warrants in this thesis are none ideally for activities such as capital allocation, price discovery and risk management.
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周煒強 and Wai-keung Chow. "The pricing of Hong Kong wattants: an empirical study of the performance of the Kassouf, Black-Scholes andconstant elasticity variance option pricing models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1993. http://hub.hku.hk/bib/B31977297.
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Barbé, Laurent. "Le warrant agricole." Paris 1, 1988. http://www.theses.fr/1988PA010265.
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Lam, Yue-kwong. "A revisit to the applicability of option pricing models on the Hong Kong warrants market after the stock option is introduced /." Hong Kong : University of Hong Kong, 1996. http://sunzi.lib.hku.hk/hkuto/record.jsp?B18003515.
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Yeh, Ho-leung Patrick. "The impact of new issues of derivative securities and the underlying blue chip securities /." Hong Kong : University of Hong Kong, 1998. http://sunzi.lib.hku.hk/hkuto/record.jsp?B19872446.
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Gustafsson, Lars, and Marcus Lindberg. "Covered Warrants : How the Implied Volatility Changes Over Time." Thesis, Jönköping University, JIBS, Business Administration, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-260.
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<p>Problem: Investors are dependent on the issuers’ valuation of covered warrants because the issuers also act as market makers. Hence it is crucial that the issuers value each of the five variables used in the Black & Scholes pricing formula in the same way at both the buying and selling occasion. For a covered warrant investor the most important is-sue is the volatility and how it changes over time. This thesis will therefore search for differences in changes of implied volatility between the different issuers.</p><p>Purpose: The purpose of this thesis is to analyze differences and similarities between the issuers’ changes of their covered warrants implied volatility.</p><p>Method: The authors have calculated the implied volatility for a sample of warrants with H&M and Ericsson as underlying assets. Black & Scholes formula has been used and this part of the thesis is made with a quantitative approach. After the implied volatility had been calculated correlation tests to the mean as well as to the stock were made. When analyzing the results the authors, in addition to the calculation, used a qualitative method by interviewing market makers. This was made in order to find better explanations to the results.</p><p>Conclusions: The differences in changes of implied volatility found between different warrants were small. In general, one warrant changed in the same way as the other ones from one day to another. These results reject the rumors that single issuers adjust their implied volatility in order to make more money. When single events in form of reports were analyzed, the authors found that the issuers changed their volatility in the same way to adjust for the changed uncertainty about the stocks future price. Further, these events clarifies that the basic dynamics of implied volatility is followed by the market. The analysis of how the implied volatility changes with respect to the stock price movements indicates a negative correlation. This implies that an increase in the stock price will lower the implied volatility and vice verse.</p>
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Duda-Banwar, Janelle. "Living with Warrants: Life under the Sword of Damocles." Case Western Reserve University School of Graduate Studies / OhioLINK, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=case1554821330974267.
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Rodd, Mary Melissa. "Mathematical warrants, objects and actions in higher school mathematics." Thesis, Open University, 1998. http://oro.open.ac.uk/54372/.
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'Higher school mathematics' connotes typical upper secondary school and early college mathematics. The mathematics at this level is characterised by moves to (1) rigour in justification,(2) abstraction in content and (3) fluency in symbolic manipulation. This thesis investigates these three transitions - towards rigour, abstraction, and tluencyusing philosophical method: for each of the three transitions a proposition is presented and arguments are given in favour of that proposition. These arguments employ concepts and results from contemporary English language-medium philosophy and also rely crucially on classroom issues or accounts of mathematical experience both to elucidate meaning and for the domain of application. These three propositions, with their arguments, are the three sub-theses at the centre of the thesis as a whole. The first of these sub-theses (1) argues that logical deduction, quasi-empiricism and visualisation are mathematical warrants, while authoritatively based justification is essentially non-mathematical. The second sub-thesis (2) argues that the reality of mathematical entities of the sort encountered in the higher school mathematics curriculum is actual not metaphoric. The third sub-thesis (3) claims that certain 'mathematical action' can be construed as non-propositional mathematical knowledge. The application of these general propositions to mathematics in education yields the following: 'coming to know mathematics' involves:(1) using mathematical warrants for justification and self conviction; (2) ontological commitment to mathematical objects; and (3)developing a capability to execute some mathematical procedures automatically.
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Klinpratoom, Apinya. "An analysis of the covered warrants market in the UK." Thesis, University of Exeter, 2010. http://hdl.handle.net/10036/104798.
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The covered warrant market in the UK has gained in popularity over time since first launched in 2002. This has opened up an alternative investment choice which offers derivative securities with a life of typically one to two years. It seems to fulfill many of the functions of a traded options market. Since most research has been focused on options trading, the investigation on covered warrants trading is still very limited. This is also largely due to the lack of readily available data for end-traded covered warrants and the existing covered warrants. A unique set of hand-collected data, supplemented by public and private data from main covered warrants issuer and the financial database are employed, making this thesis possible. The sample periods can be divided into two separate sets. The UK covered warrants trading during the period July 2004 - December 2006 are used to examine the impact of warrant introduction and expiration on the price, volume and volatility of the underlying securities. For the introduction analyses, both the announcement and listing of covered warrants have negative impacts on the price of underlying securities for both call and put features, though the impact of the announcement is more pronounced than that of the listing. These affects are temporary and do not persist much beyond the introduction of the warrants. Negative price impacts of the expiration event are also reported for both call and put covered warrants. However, this study finds no significant impacts on the volume of underlying securities trading from the announcement, listing and expiration of call and put covered warrants. Further evidence indicates an increase in volatility of the underlying securities during the announcement and listing of covered warrants. The results hold true for both call and put warrants cases. On the other hand, a decreasing stock volatility is found as a consequence of the expiration of both call and put covered warrants. The second data set involves the call covered warrants traded in the UK market between April 2007 and December 2008; this was analysed for evidence of the best appropriate covered warrants pricing model. This study suggests default risk as a major concern for the warrant price which is called the Vulnerable warrant price. The reasons behind this arise from concern about the issuer’s creditworthiness due to traders’ fraudulent action and the recent subprime problem, the difficulties of dynamic hedging by issuers because of market imperfections, as well as the no guarantees on covered warrant trading provided by the London Stock Exchange. The most salient findings of the study are the following. The Vulnerable warrant price is generally lower than both the Black-Scholes price and warrant market price throughout the warrant’s lifetime. The evidence suggests an overvalued warrant price in the UK market. Moreover, the in-the-money warrants indicate a higher rate of default in comparison to the out-of-the-money warrants. An additional finding shows that the market becomes aware of the default risk only on a short-term basis. The presentation of negative abnormal returns of both market and the Black-Sholes prices support the assumption that default risk is a relevant factor in pricing the UK covered warrants. These findings add to the literature dealing with the effect of derivatives trading on the underlying securities as well as providing more empirical evidence on a particular covered warrant market. This could be of interest not only for practitioners to widen their investment opportunities but also for regulators to have this as a guideline for their future related policies planning.
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Williams, Thomas Cephis. "Long-term oil warrants--an application to Venezuelan debt relief." Thesis, Massachusetts Institute of Technology, 1990. http://hdl.handle.net/1721.1/27974.
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McCarty, Ryan. "Leveraging Historical Thinking Heuristics as Warrants in Historical Argumentative Writing." Thesis, University of Illinois at Chicago, 2016. http://pqdtopen.proquest.com/#viewpdf?dispub=10295851.
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<p> This dissertation reports design-based research that determined the characteristics of an effective intervention to improve adolescent historical argumentative writing. This study involved 89 diverse 11th grade students, including approximately 50% Hispanic students and 12% students with disabilities. It compared a treatment that taught students to write warrants using historical thinking to explain how evidence supports a claim, and a comparison treatment that taught students to find and evaluate evidence for particular claims and sides. Both groups read a text set about the controversy surrounding the explosion of the battleship U.S.S. Maine at the start of the Spanish-American War. The intervention was designed to improve student ability to 1) select effective warrants reflecting different types of historical thinking, 2) generate their own warrants when given a claim and evidence, and 3) write more effective warrants in their own argumentative essays. When the most reliable study measures were combined and analyzed using MANOVA, there was a significant overall treatment effect. Follow up ANOVAs indicated a statistically significant effect for selecting warrants, but not writing warrants. The mean difference was greatest in items reflecting corroboration, a heuristic that requires reading several documents and giving more weight to evidence found in common across accounts. Both conditions struggled to differentiate between more and less effective warrants. These findings matter because historical argumentative writing involves advanced literacy skills similar to those needed for online reading and engaged citizenship. Based on these findings, the intervention was refined to include additional scaffolding for collecting evidence across texts and explicit instruction in differentiating between more and less effective warrants. The findings were used to develop a theory of teaching argumentative writing to inform work in similar contexts. This theory emphasizes backwards planning of units centered around a historical controversy from the writing students will do at unit’s end. It emphasizes the importance of teachers reading historical texts closely themselves and identifying where students can use historical thinking heuristics to warrant claims about the historical controversy. Through this approach, students build understanding of content and disciplinary literacy skills simultaneously through reading, reasoning, and writing across texts. </p>
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Kwok, Kam-Hong. "The pricing of warrants and the implications concerning market efficiency." HKBU Institutional Repository, 1994. http://repository.hkbu.edu.hk/etd_ra/8.
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Theodossiou, Alexandra Kleanthis Szewczyk Samuel. "Reasons for financing R & D using the SWORD structure /." Philadelphia, Pa. : Drexel University, 2007. http://hdl.handle.net/1860/1872.
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Yiu, Fan-lai, and 姚勳禮. "Applicability of various option pricing models in Hong Kong warrants market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1993. http://hub.hku.hk/bib/B3126590X.
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Yiu, Fan-lai. "Applicability of various option pricing models in Hong Kong warrants market /." [Hong Kong : University of Hong Kong], 1993. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13570493.
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CHEN, SHU-YU, and 陳書宇. "Mispricing of Warrants : Evidence of Taiwan Warrant Markets." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/gbmuvh.
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碩士<br>東海大學<br>財務金融學系<br>105<br>This paper explores the reasons for the mispricing of warrant traded in Taiwan market. The data period is from 2010 to 2016, and we use Taiwan exchange stock index as the underlying stock. We found mispricing phenomenon is consistent with the theory of arbitrage (Shleifer and Vishny, 1997) and the theory of asset float (Hong.Scheinkman and Xiong, 2006), so we use liquidity and turnover in this study as the control of independent variables. Li and Zhang (2011) explain that the difference between the price of warrants and options in Hong Kong is based on the difference in liquidity. The data of paper uses Taiwan stock exchange index warrants and options. We found that the mispricing is partly due to the short sales constraint of warrants. Since difference in opinion and short sales constraint can make warrants prices higher than the fundamental price, the level of mispricing increases in volatility and warrants maturity. This study observes the effect of implied volatility, trading volume, maturity and the closing price of warrants with mispricing. The implied volatility is negatively correlated with the mispricing, increase which shows that when the difference in option of the investors make the price derivate. The time to maturity and the closing price are also positively correlated with the mispricing. We also found that the closing price was negatively correlated with the mispricing when the time to maturity of the put warrants are one to three months, and time to maturity is negative correlation with mispricing in more than five months. When the trading volume is high, the price can react quickly on the price of warrants, reduced the mispricing, and the results of this study found that the warrants trading volume was negatively correlated with this expectation.
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Jen, Chiou Ian, and 邱臙珍. "Warrants and Convertible Bonds." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/48072022819371114663.
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Chen, Chien-Chung, and 陳建忠. "Price Behaviors of Warrants." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/46799808611139646683.
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碩士<br>國立高雄第一科技大學<br>財務管理研究所<br>102<br>The thesis investigates the decreasing time value of warrants, estimated from the theta, implied in Black-Scholes model. By studying the change of time value on warrants, we find that the out of money warrant, firstly, the theta decries with the decreasing duration, since the so called ambiguity of the distribution of underlying stocks. Moreover, we providence the evidence that premium of warrants are distributed by the issuer, moneyness, duration to maturity, trading volume, and the market conditions.
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Yang, Hsueh-Lan, and 楊雪蘭. "The Effects of Multiple-Listed Warrants on the Underlying Stocks and Call Warrants." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/33050788447986201202.
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博士<br>國立臺北大學<br>企業管理學系<br>92<br>A number of arguments suggest the existence of options listing related effects on underlying stocks, which contains both price and volatility effects. But, the range of studies only involved single-listed option and did not deal with the effects of multiple-listed warrants on the same underlying stocks and the warrants that follow up issuing.
This article examines the effects of multiple-listed warrants on the underlying stocks and call warrants from 1997 to 2003 in Taiwan call warrants market. The number of samples includes more than fifty percent of warrants that had been executed in TAIEX on April 2003. The paper use Volume-GARCH one-way and two-ways models to analyze, and design the experimental groups of multiple-listed warrants and the contrastive groups of single-listed warrants. To reduce two troubles that contain the overlap of listed periods and do not consist with the number of listed warrants in the experimental groups from the phenomena of multiple-listed warrants, by the principles of the enlarged or reduced value of Delta, this paper design also the variation percentage of cumulative hedge volume and the weighted cumulative hedge volume as manipulated independent variables.
The findings are summarized as follows. First, the effects of price and volatility are different between the experimental groups and the contrastive groups at both direction and degree of the effects that come by the results of this evidence. Secondly, the effects of multiple-listed warrants are significant positive impact on the returns and significant negative impact on the volatility of the stocks over the research periods. The third, the same impact on the return of the stocks within each period of listed warrants are also significant positive, but there are just parts of these to be significant negative impact on their volatility. Finally, the parts of effects are significant positive impact on the returns of the warrants, but the results are not consistently on the volatilities of the warrants from multiple-listed warrants within each period of listed warrants.
These results suggest that multiple listed warrants may be an important factor for both decreasing volatility and increasing market value on the underlying stocks, but the effect on each warrant is different. The Contributions of this paper are the innovation of study issue of multiple-listed warrants and the designing construct of manipulated variables might make use of other related studies.
By these results of this paper, the Securities and Futures Commission might not need to control multiple listed warrants since the phenomena could decrease volatility on the underlying stocks. The results could make reference to the securities corporations, reconsidering accurately for pricing warrants in primary market and implementing hedging strategies follow-up on the phenomena of multiple-listed warrants. For investors, invest in the underlying stocks, which issue multiple-listed warrants will probably earn abnormal return by the hedging need of trader/ dealer for written positions.
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Wu, Tsung-Chien, and 吳宗謙. "The impact of short sales ban on put warrants: Evidence from Taiwan warrants market." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/q2p5sv.
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碩士<br>國立中山大學<br>財務管理學系研究所<br>104<br>We will examine the relationship between short sales ban and put warrants from Taiwan’s warrant market. Our results show that put warrants trading volume and bid-ask spreads are higher when short sales are banned. We also run 2sls regressions to examine the endogeneity problem that arises. However, we find that warrant market can be substituted for underlying market with short sales ban, but this relationship does not hold strong in the short term when the market switches between banning and not banning short selling.
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Yuan, Chuang Chen, and 莊鎮遠. "Tauwan Call Warrants Market Research." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/82542889398746631604.
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碩士<br>國立臺北大學<br>企業管理學系<br>88<br>Recently,It has a tremendos change in the developing of new
financial commodity.With the surge of the taiwan stock
market,the warrant has become the hit among the popular
investment instruments.
This research tends to find the followings:
1、The first purpose of this research is to make investors
understand the new financial commmodity and to increase the
knowledge of investment and the way of hedge.
2、Local securities corp.s stand the dominant position in
domestic warrant''s market.Thus,the researcher interviewed with
those companies,try to find the presence and the issuing
process,the way to hedge 、operation strategies and the future
of this sector...and so on.
3、Collected questionaires from the warrant investors,the reascher intends to find how the investors get involved with this new financial commodity.
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LU, LUNG-HUA, and 路龍華. "Reexaming the volatility of warrants." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/78039300093207605409.
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碩士<br>淡江大學<br>財務金融學系碩士在職專班<br>92<br>To predict the volatility of stock market more precisely，various volatility-predicted models have been built-up. However, the results of those models are quite different. In this thesis, we apply four widely held predict models for testify the model capability of predicted accuracy; those are 「historical volatility model」、「implied volatility model」、「GARCH volatility model」、「GARCH-jump volatility model」 . We following three steps, first, calculate the estimate volubility values in those models, and then use the B-S pricing model to develop the prices of B-S model; finally, to exam and analysis the difference between estimated value and market price.
In this study, after test the difference between estimated value and actual price by MAE、MAPE、RMSE pricing margin standard, we find out the BS-IV model has the best predict ability. In general, BS-GARCH is the most popular predict model, while BS-GARCH-jump is new predict model to adapt the changeful financial environment and instrument. After exemplify BS-GARCH and BS-GARCH-jump model by MAE and MAPE formulas, GARCH-jump model get better results by involve jump idea. Therefore, we can conclude that GARCH-jump model can reflect the jump volatility of options. For further study, we assert that violability model research must contain the jump idea to notify the volatility of option and arise the ability to predict the volatility.
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"Pricing models for Hong Kong warrants." Chinese University of Hong Kong, 1990. http://library.cuhk.edu.hk/record=b5886348.
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by Chan Man Kam, Chung Kwai Ying, Fung Po Hei.<br>Thesis (M.B.A.)--Chinese University of Hong Kong, 1990.<br>Bibliography: leaf 52.<br>ABSTRACT --- p.ii<br>TABLE OF CONTENTS --- p.iv<br>LIST OF TABLES --- p.vi<br>ACKNOWLEDGEMENT --- p.vii<br>Chapter<br>Chapter I. --- INTRODUCTION --- p.1<br>Justification of the research --- p.1<br>Research Objectives --- p.3<br>Chapter II. --- METHODOLOGY --- p.5<br>Data Source --- p.5<br>Models --- p.7<br>Model 1-Simplified Kassouf Model --- p.8<br>Model 2 -Shelton Model --- p.10<br>Model 3-Black-Scholes Model --- p.13<br>Testing Methods --- p.16<br>Objectives --- p.16<br>Test of accuracy --- p.17<br>Rank Test --- p.19<br>Chapter III. --- RESULTS & FINDINGS --- p.22<br>Estimating the Shelton Model --- p.22<br>Estimation of Shelton Model --- p.22<br>The validity of model --- p.26<br>Overestimation or underestimation --- p.31<br>Mean Error vs. Mean Absolute Error --- p.32<br>Ranking of the models --- p.33<br>Sensitivity Analysis --- p.37<br>Simplified Kassouf Model --- p.38<br>Shelton Model --- p.39<br>Black-Scholes Model --- p.42<br>Elasticity of warrant price --- p.43<br>Warrants issued by the same company --- p.44<br>Chapter IV. --- CONCLUSION --- p.46<br>Chapter V. --- LIMITATION OF MODELS & FUTURE RESEARCH --- p.48<br>APPENDICES --- p.50<br>BIBLIOGRAPHY --- p.52
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Wang, Chun-Tung, and 王駿東. "The Pricing of Bond With Warrants." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/02857133714315610812.
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Lee, Yu-shao, and 李昱劭. "Pricing Analysis on American Put Warrants." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/58993129531897291611.
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碩士<br>國立雲林科技大學<br>財務金融系碩士班<br>100<br>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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沈幸宜. "The Pricing Error Effects of Warrants－A new prospects of Interaction Mechanism between Warrant and Stock Markets." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/63875807398137675611.
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碩士<br>銘傳大學<br>財務金融學系碩士班<br>91<br>This research focus on the devalue facts of warrants, and try to explain that in a new prospects of interaction mechanism between warrant and stock markets. In order to describe such mechanism, we have modified the partial difference function of Black and Scholes (1973). Finite difference method was used to simulate the new models, and compare the difference with traditional model.
We found that the simulation results of nine samples from warrant market can support the prospects of interaction effects. New model can explain the pricing error facts. But it depend on stock price is in-the-money, at-the-money
or out-the-money. We found that stock price was out-the-money, or it changed to at-the-money, new model performed better that traditional model. But stock price changed to in-the-money, the performance is weaker. By the way, discrete replication problem was matter. But after excluding the discrete replication effects, interaction mechanism still can explain the facts.
If we discuss different interaction mechanism, such as price interaction mechanism and volatility interaction mechanism, we will have the same result. To explain that, all the interaction effects have modified volatility by the Gamma value. Gamma value is higher in at-the-money situation. That is why stock price is at-the-money, modified model can explain better than traditional model.
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Kuan, Hsien-Ting, and 官顯庭. "Pricing theory of covered warrants and its application－An empirical test of Taiwan stock market related call warrants." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/21640009025165916373.
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Lee, Li-Hsuan, and 李俐萱. "Aggregated effectiveness analysis for warrant issuers on taking exchange traded funds as alternative hedging object of stock warrants." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/53492581738520018272.
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碩士<br>實踐大學<br>財務金融學系碩士班<br>103<br>Compare with stocks, this study is of the opinion that there are at least three advantages of adopting Exchange Traded Funds (ETF). First of all, popular ETF is nearly non-mobility problems. Therefore, it can reduce frictional costs substantially. Secondly, the price volatility of ETF is much lower than individual stocks’ due to the reason that specific stock market index of ETF is a stock portfolio, and in consequence the price-limit circumstance is rarely found. Lastly, the trading fee could be saved due to the taxation ratio of selling ETF is lower than stocks’.
In the previous studies, we had deduced to the theory ETF alternative hedging strategies, and used empirical studies in Taiwan 50 ETF. This study brings up an innovative idea of substituting Exchange Traded Funds (ETF) for underlying stocks. It based on the relativities of price changing of warrants respectively with underlying stocks and ETF, and develops a substitute model of hedging strategy model. Also, this study compares this two models’ transaction costs to hedging stock’s to find out which one is much better.
In this study, Taiwan 50 ETF will be taken as a substitute hedging stock; additionally, there are 300 samples, which are randomly selected from five securities firms for warrants. In order to come up with the number of positions that each warrants holds, OLS and β coefficient of GARCH estimated model will be used in analytic process. And we also chose the top five securities firms to compare the efficiency and to find out which model is much better. And we know the ETF trading site in the same day may offset each other, so we can know the benefit, which is offset and which is not offset has the better benefit.
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Tzu-Ying, Chen. "A Study on the Performances of Warrants." 2004. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0009-0112200611361625.
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Lekkas, Georgia. "Option pricing in the presence of warrants." Thesis, 2002. http://spectrum.library.concordia.ca/1747/1/MQ72895.pdf.
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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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Yen-May, Hung, and 洪燕媺. "The study on legal problems of warrants." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/90024356437780039091.
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Tasi, Li-Kuang, and 蔡立光. "Pricing and Hedging of Taiwan Covered Warrants." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/44857111468522611816.
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Pan, Chun-Hao, and 潘俊豪. "Valuation of Reset Warrants under Liquidity Costs." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/69693376785908490199.
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碩士<br>東吳大學<br>商用數學系<br>93<br>We value moving-average reset warrant under liquidity costs by using simulation approach. Some numerical analyses concerning the changes on the reset period; reset frequencies; reset ratio; and number of days in the moving average, which affect the values of warrants and reset probabilities, will be explored. We also set up a liquidity cost model which can determine the optimal reset ratio and thus minimize the liquidity cost of warrant. Finally, the delta jump inherent in the reset warrant was discussed in this study.
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何怡滿. "Reset Warrants: Properties, Valuation and Empirical Tests." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/64868173904227737040.
Full textAbstract:
博士<br>國立成功大學<br>企業管理學系<br>89<br>Path-dependent options have become increasingly popular in recent years. A path-dependent option has a payoff directly related to movements in the price of the underlying asset during the option’s life. Reset options are one type of path-dependent options. If the reset option satisfies some reset conditions during the reset period, its strike price may be reset to a lower strike in the case of a call or a higher strike in the case of a put.
In Taiwan, the first American-style reset warrant was issued by Grand Cathay Securities Co., Ltd. on 22 October 1998. The reset warrant is a new derivative security in Taiwan. It is also a new financial product for other countries. So the related literature is rare. This paper focuses on valuing eight kinds of reset warrants. First, some important properties of reset warrants are investigated and proven. Secondly, the Monte Carlo simulation method is used to calculate the prices and the reset probabilities for each kind of reset warrants under different reset conditions. Finally, this paper attempts to empirically examine the price differences between model prices and market prices of reset warrants. The purposes of this paper are summarized as follows:
1. As the reset condition changes, the price of the reset warrant and the reset probability also change. This paper investigates and proves the properties of reset warrants. The relationship between reset conditions and the price of reset warrants are examined.
2. Because of the diversity of reset conditions, the valuing process of reset warrants is very complicated and difficult. A closed-form solution might not be easy to obtain. The Monte Carlo simulation is very convenient and flexible for valuing path-dependent options. Thus, this paper uses the Monte Carlo simulation method to calculate the prices for each kind of reset warrants.
3. This paper uses “the standard deviation of stock returns in the last half-year before listed date” and “the sixty-days moving-average standard deviation” to measure stock volatility. Then, it adopts paired t test to investigate the price differences between model prices and market prices of reset warrants. If there exists significant price differences between model prices and market prices, regression analysis is further performed to identify the factors affecting the price differences.
The findings of this paper can be summarized as follows:
1. There exists an optimal reset strike price, such that the price of the warrant with a single specific reset price is at its maximum.
2. There exists an optimal reset date, such that the price of the warrant with a single specific reset date is at its maximum under reasonable interest rate.
3. As the reset period becomes longer, the price of the reset warrant and the reset probability increase.
4. If the number of times allowed for resetting increases, the price of the reset warrant increases.
5. As the number of days for calculating the moving-average price increases, the price of the reset warrant and the reset probability decrease.
6. As the lower limit of reset price decreases, the price of the warrant with a lower limit of reset strike price increases.
7. There is a strong evidence to support that model prices and market prices of reset warrants are different.
8. The price differences between model prices and market prices of reset warrants are influenced by the depth of in-the-money. For most sample warrants, the depth of in-the-money has a negative impact on price differences. That is, the price differences between model prices and market prices are smaller (larger) for reset warrants with deeper in-the-money (out-of-the money).
9. The price differences between model prices and market prices of reset warrants are influenced by the time to expiration. Some have positive effect but some have negative effect. For most sample warrants, the time to maturity has a negative effect on price differences. That is, as the time to maturity increases (decreases), the price differences between model prices and market prices decrease (increase).
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Yiin, Cheng Shyang, and 鄭翔尹. "Pricing and hedging of the basket warrants." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/56322770252026780216.
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Wu, Szu-hui, and 吳思慧. "The price difference between options and warrants." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/77577423177072528491.
Full textAbstract:
碩士<br>國立高雄第一科技大學<br>金融營運所<br>93<br>The purpose of this paper is to investigate if there still exist dilution effect when we price stock warrants using stock price instead of company value as underlying asset. We used binomial tree model to price securities’ value and assumed constant return to scale. We found the stock price would not change after the company issued warrants if we assumed constant return to scale. But because the warrants bear most of the risk, the stock price after issuing warrants is less volatile than before. As a result, the warrant price is lower than the stock option price even thought their underlying assets’ prices are equal. This suggests the dilution effect still exists even though we use the stock prices as the underlying assets of the warrants.
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Tzu-Ying, Chen, and 陳慈穎. "A Study on the Performances of Warrants." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/96280041593360625036.
Full textAbstract:
碩士<br>元智大學<br>財務金融研究所<br>92<br>A Study on the Performances of Warrants
Student：Tzu-Ying Chen Advisor：Wen-Chung Guo
ＡBSTRACT
This paper investigates 42 warrants in U.K .The results indicate that how to choice the investment entering timing and find the explanatory factors of warrants would affect the investment performance. In this paper , we find that the middle entering point of the warrants exercise period will get the best investment performances to the investors. On the other hand , we also find that amount outstanding , parity, premium/discount% , market price , dividend yield , the underlying assets price , moneyness will remarkably affect the warrants performance . Thus , the empirical results suggests that the investors choice the middle points of the exercise period to enter the warrants market which will get the best performance and the explanatory factors in this paper also could affect the
warrants performance.
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Yeh, Wen-Chiun, and 葉文鈞. "The Empirical Study of Option Pricing with Securities Transaction Tax-The Case of Call Warrant Writers Hedging by Warrants." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/43072265990430594748.
Full textAbstract:
碩士<br>國立高雄第一科技大學<br>財務管理所<br>90<br>ABSTRACT
If the call warrant writers in Taiwan hedging by the same stock of warrants of another call warrant writers, we tried to construction an option pricing model with securities transaction tax, by Hayne E. Leland presented in 1985.
We showed that the securities transaction tax of call warrant and the call warrants price is the same change. At the same time, the empirical study and the revised model with securities transaction tax have same conclusion.
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"A test of the Black-Scholes Psuedo American Option Pricing Formula on Hong Kong warrants: an exploration." Chinese University of Hong Kong, 1990. http://library.cuhk.edu.hk/record=b5886390.
Full textAbstract:
by Chung Shek-wah Eric, Mok Tze-shan Teresa.<br>Thesis (M.B.A.)--Chinese University of Hong Kong, 1990.<br>Bibliography: leaves 50-52.<br>ACKNOWLEDGEMENT --- p.ii<br>ABSTRACT --- p.iii<br>TABLE OF CONTENTS --- p.iv<br>LIST OF TABLES --- p.vi<br>Chapter<br>Chapter I. --- INTRODUCTION --- p.1<br>Chapter II. --- WARRANT PRELIMINARIES --- p.3<br>Warrants 一一 Rights to Buy --- p.3<br>History of Warrants in Hong Kong --- p.4<br>Chapter III. --- LITERATURE REVIEW --- p.7<br>Various Tests of OFF --- p.7<br>Test of Robustness --- p.8<br>Test of Unbiasedness --- p.8<br>Test of Hedge Return Behavior --- p.9<br>Test of Predictabi1ity --- p.9<br>The Development of the Black-Scholes OPF --- p.11<br>Chapter IV. --- METHODOLOGY --- p.14<br>The Black-Scholes OPF and Its Underlying Assumptions --- p.16<br>The Treatment of Dividend Payments and Ear1y Exercise --- p.17<br>Data Collection- --- p.20<br>Chapter V. --- FINDINGS --- p.29<br>Results from the Original Data Group with 40 Warrants --- p.33<br>Results from the Second Data Group with 34 Warrants --- p.35<br>Chapter VI. --- CONCLUDING COMMENTS --- p.38<br>APPENDIX --- p.40<br>BIBLIOGRAPHY --- p.50
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Fang, His-Yung, and 方錫勇. "The Investment Decision of the Implied Volatility Index of Warrants - A Case Study of Call Warrants of Taiwan’s Electric Stocks." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/9ubz99.
Full textAbstract:
碩士<br>銘傳大學<br>資訊管理學系碩士在職專班<br>95<br>This paper mainly studies the comparison based on the implied and related historical volatility of call warrants, which is according to the market’s implied volatility to be the reference of investment. In addition, it aims at whether it is increasing the probability of earning profit by choosing the lower implied volatility of the multiple-issuing warrants on same target stock.
The subjects of this research are the data of call warrants which were issued in Taiwan from November 2005 to May 2007. It is trying to figure out the trading strategies to increase the probability of earning profits through statistics.
In this research, the results show the following points in Taiwan stock market：
1.For the trading strategies, it will increase the profits as the market price of the in-the-money call warrants is proportional to the implied volatility; for instance, to buy the call warrants as the implied volatility is lower than 0.9 time of historical volatility, and to sell them as the implied volatility is higher than 1.1 time of historical volatility.
2.We are unable to learn the right time of investment based on the height of the implied volatility for out-of-the-money call warrants.
3.The investors would get higher profits and lower loss by choosing the lower implied volatility of the multiple-issuing warrants on same target stock, since most of them would.
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HSIEH, YI-TA, and 謝易達. "How Warrants Issuance Conditions Influence The Relationship Between Warrants Price And Underlying Stock Price-The Case For Taiwan 50 Index." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/jy22z6.
Full textAbstract:
碩士<br>僑光科技大學<br>財務金融研究所<br>103<br>This research is set out to investigate the impacts imposed by the trading of call warrants on the volatility of underlying stocks after the issuance of the former. The measurable indicators here are the warrant returns at closing price and the underlying stock returns at closing price, while the trading materials of Taiwan 50 and the call warrants of Taiwan 50 during November 2013 and January 2015 are used as the samples. According to the results of the positive analysis performed via the tracing data linear regression model, together with the warrant returns at closing price and the underlying stock returns at closing price as the measurable indicators, the degrees of in-the-money and out-of-money are proved to be closer while the positive results concerning the history volatility in January, that of the past six months, that of the last nine months and that of the last twelve months, as well as implied volatility -- ask price, delta value, theoretical price, and warrant price limits are all positively correlated to the warrant returns at closing price and the underlying stock returns at closing price. It is thus discovered that the issuers&;#39; could influence the stock price fluctuations indirectly via the warrant issuance conditions, which will play an important role in the investors&;#39; investment in warrants. With the positive results generated in this paper and an regression analysis starting from the relationship between warrant prices and underlying stocks, it will be further possible to understand the impacts of issuance conditions on the relationship between warrant prices and underlying stock prices, so as to make the investment decisions and choose to invest in warrants in an indirect manner, thus extending the financial leverage and conducting buy long and short sell operations.
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Shum, Shan-Ho, and 岑山河. "Expiration Effects of Derivative Equity Warrants in Taiwan." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/984f5b.
Full textAbstract:
碩士<br>銘傳大學<br>財務金融學系碩士在職專班<br>95<br>Expiration Effects of Derivative Equity Warrants in Taiwan
Student: Shan-Ho Shum Advisor: Dr. Yang-Zhen Lu
Dr. Chung-Jung Lee
Abstract
By using the event-study analysis and GARCH(1,1) model to demonstrate the influence of the derivative equity warrants expiration on the return of the underlying stocks. Additionally, according to the research by Rubinstein(1985), the assort of call option in CBOE. We use GARCH(1,1) model to display the influence of the warrants at different moneyness expiration on the return of the underlying. Another, we use the analysis of variance to test whether increase of the stock volatility. We collected 527 samples to expect to accurately estimate the effect of underlying stock when derivative equity warrant expiration.
The empirical evidences five results as follows:The first, the period around warrant expiration causes negative price effect, especially prior to expiration CAR appear negative significant in the different event window. The second, different moneyness warrants appear different AR and CAR, the DOTM and DITM samples appear the inverse results.The third, causes a negative price effect after expiration for DITM and ITM samples. The fourth, causes a negative price effect prior to expiration for DOTM sample, but appear positive price effect on the back.The last one, by the test of the stock volatility, the DITM sample show significant more than other samples.
Key Words: event-study analysis, GARCH model, AR(abnormal return), CAR(cumulative average abnormal return)
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Lee, Hsin-Chan, and 李欣展. "Pricing Factors Analysis of Hong Kong Covered Warrants." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/65679654229991314759.
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Chen, Jian-Hong, and 陳建宏. "Semi-parametric Pricing of Derivative Warrants in Taiwan." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/82639126477130360988.
Full textAbstract:
碩士<br>銘傳大學<br>金融研究所<br>89<br>This thesis applies three types of pricing models (Black & Scholes model, the Black & Scholes model with linear regression correction and the semi-parametric pricing model) and two types of volatility estimation (historical and equal weighted weight-average implied volatility) to evaluate derivative warrants of Taiwan and investigates the factors which influence the degree of price deviation. Semi-parametric pricing model that couple the Black & Scholes model with a nonlinear correction function are shown to better capture contract features of warrant market in Taiwan than other models. The nonlinear correction is based on the local linear kernel regression technique with time to maturity of the warrant, moneyness of the warrant and volatility of the underlying stock as the regressors. Our semi-parametric approach of equal weighted weight-average implied volatility is found to substantially improve the model’s ability to describe the market pricing structure of Taiwan derivative warrants. The improvement in performance for the nonlinear correction model is significant for both in-sample and out-of-sample data. In general, the semi-parametric pricing model is a more suitable for pricing derivative warrants in Taiwan.
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Lee, Chien Yi, and 李倩儀. "The Valuation of reset warrants-Application of AMM." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/50211290160988803898.
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Chen, Cung-Ting, and 陳俊廷. "Pricing Warrants with Credit Risk─Trinomial Tree Model." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/95103389998131469336.
Full textAbstract:
碩士<br>世新大學<br>財務金融學研究所(含碩專班)<br>93<br>In the realistic investment environment, diversification of the financial goods and the complicating of economic system, often make the risk that investors face greatly increase, among them the most direct one is the credit risks of warrant issuer. There is no adequate margin settlement mechanism for prevailing covered warrant in Taiwan, and thus the credit risks of warrant issuer must be considered when investors evaluate the price of covered warrant.
This thesis applies Klein’s (1996) vulnerable option valuation model and using the trinomial tree model to pricing vulnerable warrant. Besides, this thesis will also compare the difference of empirically result among the simulate value, Klein’s (1996) vulnerable option price, Black & Scholes option price and the market price of warrant by using the domestic American warrant data.
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Su, Fang-Chi, and 蘇芳姬. "Pricing Taiwan Covered Warrants Subject to Credit Risk." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/63752799594089320071.
Full textAbstract:
碩士<br>國立成功大學<br>國際企業研究所碩博士班<br>90<br>This paper value the Taiwan Covered Warrants using the Binominal European options pricing model. There are two kinds of credit risk, one is the underlying stock risk, the other is the default risk of issuing financial instruments. We always ignore the last, especially in the downturn financial markets. So, it's very important to measure the credit spread in the warrants market.
We investigate the close market covered warrants price from Apr. 1999 to Sep. 2001, include 13 issuing financial instruments, 76 simple covered warrants and 20255 transactions data. We estimate the stock return volatility and simulate the credit risk from 5% to 20% depends on the issuers attributes that separate 3 levels in capital ratio or market share. We finds the credit risk is negative, and the over price difference is about 4%. Meanwhile, higher in the money, higher the default risk. And the maket share and capital ratio are the explanation factors to evaluate the price difference. That is to say, high capital ratio or high market share issuers always are the low price difference, and then their pricing model is near the thesis.
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Liu, Bihyiin, and 劉弼尹. "The study of hedging performance for issuing warrants." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/86510867784869597488.
Full textAbstract:
碩士<br>國立臺灣大學<br>財務金融學系研究所<br>86<br>Since warrants were allowed listing in the security market by
the SEC, many financial institutions, especially security
companies, began to engage in preparing the warrants issuing
and listing affairs. Of course, before deciding issuing
warrants, the financial institutions should construct a risk
management system including dynamic hedging strategy.
A superior risk management system can assure the profits of
issuing warrants. The most familiar dynamic hedging factor is
delta. The delta dynamic hedging strategy associates with the
concept of replicating the option. This article focuses on the
hedging performance and replicating effect by simulation.
Hedging performance is measured by the ratio of standard
deviation of hedging cost divided by the theoretical option
value calculating by Black-Scholes option pricing formula.
Replicating effect is measured
differential between hedging cost and theoretical option value
divided by theoretical option value or t-statistics.
Some assumptions which include continuous rebalancing, no
transaction costs, divisibilities and constant volatility are
inappropriate when proceeding delta dynamic hedging. Following
are the simulating results by relaxing those assumptions:
Whether considering transaction costs or not, hedging
performance is better while using daily rebalancing.
Whether considering transaction costs or not, replicating
effect is better while using season rebalancing.
While only considering transaction base is one share or 1,000
shares, hedging performance is worse by little degree related
to divisibilities.
Hedging performance is worse while considering uncertain
volatility than transaction costs.
The suggestion by hedging simulation is: after the financial
institution lists their warrants in the security market, they
must do their best to engage in dynamic hedging by consider
transaction costs and uncertain volatility.
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Hsun, Shih-Hsiang, and 徐士翔. "Reset Warrants Pricing, Reset Terms, and Liquidity Cost." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/82510367945246308997.
Full textAbstract:
碩士<br>國立中央大學<br>財務管理研究所<br>88<br>Our paper evaluates the American-style moving-average reset call warrants using Monte Carlo simulation method. Then, we investigate the affections on the prices of the American-style moving-average reset call warrants by changing the values of the reset terms including reset period, reset ratio, reset frequency, and days of moving-average daily closing price. In the end, our paper goes on to calculate the optimal reset ratio of the reset call warrants by imposing liquidity cost function for out-of-money options.We extend the method of Grant, Vora, and Weeks(1996) to value American-style moving-average reset call warrants.Our results show that the price of the reset warrant is higher than the warrant without resets. In other words, the reset terms increase the value of the warrants. The reset warrant price increases with the reset frequency. There is an optimal reset ratio that makes the reset warrant price maximize at time 0. The longer the reset period is, the higher is the reset probability and so the reset call warrant price. The price of the reset warrant decreases as the days of moving-average daily closing price increases. Hence, the investors of daily reset calls are protected more than those of moving-average reset calls from the reset mechanism. Naturally, the prices of daily reset call warrants are greater than that of the moving-average reset call warrants. The higher the reset probability the higher the reset warrant price at the same reset ratio. There is an optimal reset ratio that makes the expected out-of-the-money liquidity cost minimize under out-of-the-money liquidity cost assumption. The optimal reset ratio of the reset call warrant will become higher when the reset call warrant is popular than other reset call warrants under the assumption of the out-of-the-money liquidity cost.