Record Details

Pricing Warrants Models: An Empirical Study of the Indonesian Market

Research Journal of Economics, Business and ICT

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Field Value
 
Title Pricing Warrants Models: An Empirical Study of the Indonesian Market
 
Creator Abbasi, Wajih; High Institute of Commercial Studies, HEC Carthage
 
Subject Economic
Black and Scholes, Constant elasticity variance, Dilution, Indonesian market, Moneyness, Warrant valuation
C3; C8; G12; G13
 
Description The main issue during periods of financial crisis is to restore the investor’s confidence and attract them back to financial markets. Thus, the warrants have been a great help to relaunch many south East Asian financial markets just after the 1997 crisis, by encouraging investors to finance the restructuring of troubled companies. However, the few empirical studies which were interested in this product, was limited to the developed markets and in particular the American one. In this paper, we will try to emphasize the warrant’s specificities compared to the option ones. Then, we will seek to release the ideal model ready to provide the best pricing for this product. The comparison will relate to 3 models: the Black and Sholes model (BS), the Dilution Adjusted Black and Scholes model (DABS) and finally the  modified  Square  Root  Constant  Elasticity  of Variance  (SRCEV) adjusted  by the  dilution effect. The empirical study, which is spread out over 3 years (2001–2003), will relate to an emergent market: the Jakarta Stock Exchange (JSX)
 
Publisher English Time Schools & Overseas Education
 
Contributor —
 
Date 2015-09-15
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/msword
 
Identifier http://ojs.journals.cz/index.php/RJEBI/article/view/658
 
Source Research Journal of Economics, Business and ICT; Vol 10, No 1 (2015)
2047-7848
2045-3345
 
Language eng
 
Relation http://ojs.journals.cz/index.php/RJEBI/article/view/658/611
 
Rights Copyright (c) 2015 Wajih Abbasi
https://creativecommons.org/licenses/by/3.0/