TY  - JOUR
TT  - İMKB’de İşlem Gören Aracı Kuruluş Varantları İçin Etkin Fiyatlama Modelinin Belirlenmesi
AU  - Karakuş, Rıfat
AU  - Zor, İsrafil
PY  - 2014
DA  - February
JF  - Ege Academic Review
JO  - eab
PB  - Ege University
WT  - DergiPark
SN  - 1303-099X
SP  - 63
EP  - 71
VL  - 14
IS  - 1
KW  - Warrant
KW  - option pricing models
KW  - ISE
N2  - Bu çalışmada, İMKB’de işlem gören aracı kuruluş varantları için hangi fiyatlama modelinin etkin olduğunun belirlenmesi amaçlanmıştır. 2012 yılında işlem gören, İMKB-30 endeksine dayalı 61 alım varantına ait 3,000’den fazla gözlem kullanılarak Black-Scholes, Black-Scholes-Merton, Varyansın Sabit Esnekliği (Karekök Modeli) ve Binomial modeller ile hesaplanan günlük varant fiyatlarının piyasa fiyatından farklılaşmaları dikkate alınarak test edilmiştir. Karda/zararda olma durumlarına göre 3 gruba ayrılan varantlar için modellerden elde edilen fiyatlar ile piyasa fiyatlarının istatistiksel olarak farklılaşması bağımsız t testi kullanılarak tespit edilmiştir. Çalışma sonucunda karda olan varantlar için Black-Scholes-Merton modeli etkin model olarak belirlenirken, başabaş ve zararda olan varantlar için Black-Scholes modeli ile Black-Scholes-Merton modelleri arasında kararsız kalınmıştır
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UR  - https://dergipark.org.tr/en/pub/eab/issue//474239
L1  - https://dergipark.org.tr/en/download/article-file/560032
ER  -