DocumentCode
556452
Title
The relative performance of four alternative warrant pricing models
Author
Jianfeng, Zhang ; Wenxiu, Hu ; Li, Zhang
Author_Institution
Dept. of Finance, Xi´´an Univ. of Technol., Xi´´an, China
Volume
1
fYear
2011
fDate
22-23 Oct. 2011
Firstpage
60
Lastpage
62
Abstract
Four warrant pricing models are examined in the paper: a pair based on the BS model, a pair based on the constant elasticity of variance (CEV) modification. Based on daily closing price of Shanghai-Shenzhen warrant market from August 2005 to September 2010, and more than 14000 warrant price observations, the FTCEV model generates the lowest mean absolute pricing error in most of the warrants tested. In many cases, the dilution-adjusted Black-Scholes model remains an economical alternative.
Keywords
economics; pricing; stock markets; Shanghai-Shenzhen warrant market; constant elasticity of variance; daily closing price; dilution-adjusted Black-Scholes model economics; mean absolute pricing error; warrant price observation; warrant pricing model; Estimation; Finance; Black-Scholes model; CEV model; Performance; warrant pricing;
fLanguage
English
Publisher
ieee
Conference_Titel
System Science, Engineering Design and Manufacturing Informatization (ICSEM), 2011 International Conference on
Conference_Location
Guiyang
Print_ISBN
978-1-4577-0247-1
Type
conf
DOI
10.1109/ICSSEM.2011.6081232
Filename
6081232
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