Empirical Tests of Pricing of Call Warrants: The Case of Taiwan

David Shyu

《Pan-Pacific Management Review》 2卷1期 (1998/08) Pp. 65-76

https://doi.org/10.30166/PPMR.199808.0004

並列摘要

This paper attempts to employ the best performance option pricing model, and the square root CEV model, to empirically examine the pricing of Taiwan stock market related call warrants. Unlike conventional company's warrants that are attached to company's bonds as means to finance capital, Taiwan stock market related call warrants is issued by investment banks written on the Taiwan stock market's index, a stock basket, or a single stock.
This study uses t tests and regression method to examine the price behavior and reasons that cause deviations between actual prices and theoretical prices of eight warrants. The findings can be summarized as follows: Theoretical models tend to overprice those warrants that experience in the money. Theoretical models tend to underprice those warrants that experience out of the money. There are no significant evidences to support that pricing deviations between actual prices and theoretical prices will decrease over time. There are also no significant evidences to infer that models overprice warrants when volatility is high.

並列關鍵字

Warrants ； Options Pricing Model ； Historical Volatility ； Implied Volatility