Author/Authors
KARAKUŞ, Rıfat Çankırı Karatekin Üniversitesi - Meslek Yüksek Okulu - Yönetim ve Organizasyon Bölümü, Turkey , ZOR, İsrafil Kırıkkale Üniversitesi - İktisadi ve İdari Bilimler Fakültesi - İşletme Bölümü, Turkey
Title Of Article
Determination of Efficient Pricing Model for The Warrants Listed on The ISE
شماره ركورد
44419
Abstract
The aim of the study is to determine the efficient pricing model for the warrants traded on the ISE. By using more than 3.000 observations about the call warrants that’s underlying security is ISE-30 Index and traded in 2012, Black-Scholes, Black-Scholes-Merton, Square Root Constant Elasticity Variance and Binomial models are tested according to difference between model and market prices. Also independent t test is used to explain the statistical efficiency of differences between model and market prices for warrants that are grouped according to their moneyness degree. As a result of the study, Black-Scholes-Merton model is the most efficient model for in-the-money warrants, but it is not possible to choose one of the models that are Black-Scholes and Black-Scholes-Merton for at-the-money and out-of-money warrants.
From Page
63
NaturalLanguageKeyword
Warrant , option pricing models , ISE.
JournalTitle
Ege Academic Review (EAR)
To Page
71
JournalTitle
Ege Academic Review (EAR)
Link To Document