Tesi sul tema "Warrants"
Cita una fonte nei formati APA, MLA, Chicago, Harvard e in molti altri stili
Vedi i top-50 saggi (tesi di laurea o di dottorato) per l'attività di ricerca sul tema "Warrants".
Accanto a ogni fonte nell'elenco di riferimenti c'è un pulsante "Aggiungi alla bibliografia". Premilo e genereremo automaticamente la citazione bibliografica dell'opera scelta nello stile citazionale di cui hai bisogno: APA, MLA, Harvard, Chicago, Vancouver ecc.
Puoi anche scaricare il testo completo della pubblicazione scientifica nel formato .pdf e leggere online l'abstract (il sommario) dell'opera se è presente nei metadati.
Vedi le tesi di molte aree scientifiche e compila una bibliografia corretta.
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.
Testo completoAndreé, 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.
Testo completo周煒強 e 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.
Testo completoBarbé, Laurent. "Le warrant agricole". Paris 1, 1988. http://www.theses.fr/1988PA010265.
Testo completoLam, 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.
Testo completoYeh, 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.
Testo completoGustafsson, Lars, e 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.
Testo completoProblem: 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.
Purpose: The purpose of this thesis is to analyze differences and similarities between the issuers’ changes of their covered warrants implied volatility.
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.
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.
Rodd, Mary Melissa. "Mathematical warrants, objects and actions in higher school mathematics". Thesis, Open University, 1998. http://oro.open.ac.uk/54372/.
Testo completoDuda-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.
Testo completoKlinpratoom, Apinya. "An analysis of the covered warrants market in the UK". Thesis, University of Exeter, 2010. http://hdl.handle.net/10036/104798.
Testo completoWilliams, 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.
Testo completoMcCarty, 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.
Testo completoThis 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.
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.
Testo completoTheodossiou, Alexandra Kleanthis Szewczyk Samuel. "Reasons for financing R & D using the SWORD structure /". Philadelphia, Pa. : Drexel University, 2007. http://hdl.handle.net/1860/1872.
Testo completoYiu, Fan-lai, e 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.
Testo completoYiu, 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.
Testo completoRobinson, Subaricca. "Race, Gender, and Attorney Representation as Predictors of Private Probation Warrants". ScholarWorks, 2019. https://scholarworks.waldenu.edu/dissertations/6369.
Testo completoCHEN, SHU-YU, e 陳書宇. "Mispricing of Warrants : Evidence of Taiwan Warrant Markets". Thesis, 2017. http://ndltd.ncl.edu.tw/handle/gbmuvh.
Testo completo東海大學
財務金融學系
105
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.
Jen, Chiou Ian, e 邱臙珍. "Warrants and Convertible Bonds". Thesis, 1995. http://ndltd.ncl.edu.tw/handle/48072022819371114663.
Testo completoChen, Chien-Chung, e 陳建忠. "Price Behaviors of Warrants". Thesis, 2014. http://ndltd.ncl.edu.tw/handle/46799808611139646683.
Testo completo國立高雄第一科技大學
財務管理研究所
102
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.
Yang, Hsueh-Lan, e 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.
Testo completo國立臺北大學
企業管理學系
92
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.
Wu, Tsung-Chien, e 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.
Testo completo國立中山大學
財務管理學系研究所
104
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.
Yuan, Chuang Chen, e 莊鎮遠. "Tauwan Call Warrants Market Research". Thesis, 2000. http://ndltd.ncl.edu.tw/handle/82542889398746631604.
Testo completo國立臺北大學
企業管理學系
88
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.
LU, LUNG-HUA, e 路龍華. "Reexaming the volatility of warrants". Thesis, 2004. http://ndltd.ncl.edu.tw/handle/78039300093207605409.
Testo completo淡江大學
財務金融學系碩士在職專班
92
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.
Wang, Chun-Tung, e 王駿東. "The Pricing of Bond With Warrants". Thesis, 1994. http://ndltd.ncl.edu.tw/handle/02857133714315610812.
Testo completoLee, Yu-shao, e 李昱劭. "Pricing Analysis on American Put Warrants". Thesis, 2012. http://ndltd.ncl.edu.tw/handle/58993129531897291611.
Testo completo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.
"Pricing models for Hong Kong warrants". Chinese University of Hong Kong, 1990. http://library.cuhk.edu.hk/record=b5886348.
Testo completoThesis (M.B.A.)--Chinese University of Hong Kong, 1990.
Bibliography: leaf 52.
ABSTRACT --- p.ii
TABLE OF CONTENTS --- p.iv
LIST OF TABLES --- p.vi
ACKNOWLEDGEMENT --- p.vii
Chapter
Chapter I. --- INTRODUCTION --- p.1
Justification of the research --- p.1
Research Objectives --- p.3
Chapter II. --- METHODOLOGY --- p.5
Data Source --- p.5
Models --- p.7
Model 1-Simplified Kassouf Model --- p.8
Model 2 -Shelton Model --- p.10
Model 3-Black-Scholes Model --- p.13
Testing Methods --- p.16
Objectives --- p.16
Test of accuracy --- p.17
Rank Test --- p.19
Chapter III. --- RESULTS & FINDINGS --- p.22
Estimating the Shelton Model --- p.22
Estimation of Shelton Model --- p.22
The validity of model --- p.26
Overestimation or underestimation --- p.31
Mean Error vs. Mean Absolute Error --- p.32
Ranking of the models --- p.33
Sensitivity Analysis --- p.37
Simplified Kassouf Model --- p.38
Shelton Model --- p.39
Black-Scholes Model --- p.42
Elasticity of warrant price --- p.43
Warrants issued by the same company --- p.44
Chapter IV. --- CONCLUSION --- p.46
Chapter V. --- LIMITATION OF MODELS & FUTURE RESEARCH --- p.48
APPENDICES --- p.50
BIBLIOGRAPHY --- p.52
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.
Testo completo銘傳大學
財務金融學系碩士班
91
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.
Kuan, Hsien-Ting, e 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.
Testo completoLee, Li-Hsuan, e 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.
Testo completo實踐大學
財務金融學系碩士班
103
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.
Lekkas, Georgia. "Option pricing in the presence of warrants". Thesis, 2002. http://spectrum.library.concordia.ca/1747/1/MQ72895.pdf.
Testo completoTzu-Ying, Chen. "A Study on the Performances of Warrants". 2004. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0009-0112200611361625.
Testo completoYen-May, Hung, e 洪燕媺. "The study on legal problems of warrants". Thesis, 1998. http://ndltd.ncl.edu.tw/handle/90024356437780039091.
Testo completoTasi, Li-Kuang, e 蔡立光. "Pricing and Hedging of Taiwan Covered Warrants". Thesis, 1998. http://ndltd.ncl.edu.tw/handle/44857111468522611816.
Testo completoPan, Chun-Hao, e 潘俊豪. "Valuation of Reset Warrants under Liquidity Costs". Thesis, 2005. http://ndltd.ncl.edu.tw/handle/69693376785908490199.
Testo completo東吳大學
商用數學系
93
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.
何怡滿. "Reset Warrants: Properties, Valuation and Empirical Tests". Thesis, 2001. http://ndltd.ncl.edu.tw/handle/64868173904227737040.
Testo completo國立成功大學
企業管理學系
89
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).
Yiin, Cheng Shyang, e 鄭翔尹. "Pricing and hedging of the basket warrants". Thesis, 1999. http://ndltd.ncl.edu.tw/handle/56322770252026780216.
Testo completoWu, Szu-hui, e 吳思慧. "The price difference between options and warrants". Thesis, 2005. http://ndltd.ncl.edu.tw/handle/77577423177072528491.
Testo completo國立高雄第一科技大學
金融營運所
93
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.
Tzu-Ying, Chen, e 陳慈穎. "A Study on the Performances of Warrants". Thesis, 2004. http://ndltd.ncl.edu.tw/handle/96280041593360625036.
Testo completo元智大學
財務金融研究所
92
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.
Yeh, Wen-Chiun, e 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.
Testo completo國立高雄第一科技大學
財務管理所
90
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.
"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.
Testo completoThesis (M.B.A.)--Chinese University of Hong Kong, 1990.
Bibliography: leaves 50-52.
ACKNOWLEDGEMENT --- p.ii
ABSTRACT --- p.iii
TABLE OF CONTENTS --- p.iv
LIST OF TABLES --- p.vi
Chapter
Chapter I. --- INTRODUCTION --- p.1
Chapter II. --- WARRANT PRELIMINARIES --- p.3
Warrants 一一 Rights to Buy --- p.3
History of Warrants in Hong Kong --- p.4
Chapter III. --- LITERATURE REVIEW --- p.7
Various Tests of OFF --- p.7
Test of Robustness --- p.8
Test of Unbiasedness --- p.8
Test of Hedge Return Behavior --- p.9
Test of Predictabi1ity --- p.9
The Development of the Black-Scholes OPF --- p.11
Chapter IV. --- METHODOLOGY --- p.14
The Black-Scholes OPF and Its Underlying Assumptions --- p.16
The Treatment of Dividend Payments and Ear1y Exercise --- p.17
Data Collection- --- p.20
Chapter V. --- FINDINGS --- p.29
Results from the Original Data Group with 40 Warrants --- p.33
Results from the Second Data Group with 34 Warrants --- p.35
Chapter VI. --- CONCLUDING COMMENTS --- p.38
APPENDIX --- p.40
BIBLIOGRAPHY --- p.50
HSIEH, YI-TA, e 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.
Testo completo僑光科技大學
財務金融研究所
103
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.
Fang, His-Yung, e 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.
Testo completo銘傳大學
資訊管理學系碩士在職專班
95
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.
Chen, Yi-wen, e 陳怡文. "The Study of Pricing Model for Caps Warrants". Thesis, 2002. http://ndltd.ncl.edu.tw/handle/24300124516301870699.
Testo completo實踐大學
企業管理研究所
90
Recently, the research on financial engineering process has been popular and increased in numbers. In Taiwan, compared with foreign market, call warrants market has developed for only five years. And the issue of securities also changes because the stock market is returning from bull market, but it doesn’t mean that the future can’t go from bad to good. On the whole, most call warrants in Taiwan are standard American options; however, reset warrants or caps warrants are 12% and 8% separately in total warrants. Therefore, this creative call warrants should be developed in the future. This study is a research on caps warrants in Taiwan. The methods used in this study are Barrier Options by Hull （2000）and Artificial Neural Network（ANN）.And implied volatility and historical volatility are applied to this study as well.
Chen, Ying-Huei, e 陳嫈惠. "Financial Substitutes and Mispricing of American Put Warrants". Thesis, 2010. http://ndltd.ncl.edu.tw/handle/48591474227049166803.
Testo completo國立臺北大學
經濟學系
98
The purpose of this study is to explore mispricing of American put warrants in Taiwan. In this thesis I use several theoretical pricing models including the Black-Scholes (B-S) model, square-root constant elasticity volatility (SRCEV) model, Barone-Adesi and Whaley model (BAW), and both American and European binomial tree models. The sample covers expired covered put warrants from July 9th, 2003 to October 13, 2009 issued in Taiwan. Our main finds are follows. First, I find that the B-S model and binomial tree model are underestimated. Relatively, the SRCEV and BAW model values are overestimated. Overall, the BAW model predictions are less accurate than other models. In the in-the-moneyness subsample, the B-S model, SRCEV model and BAW model have better predictive ability than other models, while the binomial tree model in the out-of-the-money subsample has better predictive ability. The SRCEV model and BAW model for American put warrants have better predictive power, and the B-S model and binomial tree model for European put warrants has better predictive ability. In our sample the theoretical price of the binomial tree model under American put warrants is not significantly different from the European put warrant, because most sample are out-of-the-money. Second, this thesis explores the determinants of mispricing of put warrants. In addition to several factors discussed in the literature, the influences of the returns of underlying securities and substitute for financial goods are presented. In the total sample, a negative relationship between historical volatility and mispricing is observed. Moneyness is positively associated with mispricing for the B-S model and the binomial tree model, but is negatively associated with mispricing for the SRCEV model and the BAW model. The relationship between time to expiration and mispricing is positive except the SRCEV model. The returns of underlying securities is found to be positively associated with mispricing for all models which suggests that investors prefer warrants with underlying securities of higher returns. The relationship between turnover rate and mispricing is significantly positive, which reflects that investors prefer warrants of active trading securities. Furthermore, this thesis finds a negative relationship between the numbers of the financial substitutes and mispricing, consistent with the hypothesis of financial substitutes.
Lee, Hsin-Chan, e 李欣展. "Pricing Factors Analysis of Hong Kong Covered Warrants". Thesis, 1998. http://ndltd.ncl.edu.tw/handle/65679654229991314759.
Testo completoChen, Jian-Hong, e 陳建宏. "Semi-parametric Pricing of Derivative Warrants in Taiwan". Thesis, 2001. http://ndltd.ncl.edu.tw/handle/82639126477130360988.
Testo completo銘傳大學
金融研究所
89
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.
Lee, Chien Yi, e 李倩儀. "The Valuation of reset warrants-Application of AMM". Thesis, 2001. http://ndltd.ncl.edu.tw/handle/50211290160988803898.
Testo completoHUANG, PIN-YU, e 黃品諭. "Informed warrants trading prior to monthly sales announcements". Thesis, 2019. http://ndltd.ncl.edu.tw/handle/2s3b92.
Testo completo東海大學
財務金融學系
107
According to regulations of Taiwan Stock Exchange, listed companies are required to announce monthly sales each month. These monthly sales announcements usually have apparent impacts on stock prices, because monthly sales are hard to be predicted. To exploit private information concerning future change in stock prices, informed traders buy put warrants and/or sell call warrants prior to the announcement of bad news, implying that a broadening implied volatility (IV) skew usually accompanies drop in future stock prices. This research thus explores whether IV skew of warrants has predictive power for stock returns around monthly sales announcements and investigates the information content of warrant trading accordingly. The empirical evidence shows that a negative relation between pre-announcement abnormal IV skew and cumulative abnormal stock returns around monthly sales announcements. Moreover, this predictability is stronger when monthly sales decrease and weaker when information concerning monthly sales has already been incorporated in stock prices. We also find that the selling pressure from foreign investors prior to monthly sales announcements does not have any influence on this predictability. Unlike monthly sales announcements, abnormal IV skew is found to have no predictive power for stock returns prior to quarterly earnings announcements. Overall results suggest that informed warrants trading predicts monthly sales announcement returns.
Shum, Shan-Ho, e 岑山河. "Expiration Effects of Derivative Equity Warrants in Taiwan". Thesis, 2007. http://ndltd.ncl.edu.tw/handle/984f5b.
Testo completo銘傳大學
財務金融學系碩士在職專班
95
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)