Determination of Efficient Pricing Model for The Warrants Listed on The ISE

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, BlackScholes-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, BlackScholes-Merton model is the most efficient model for in-themoney 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

Keywords

• Warrant, option pricing models, ISE

İMKB’de İşlem Gören Aracı Kuruluş Varantları İçin Etkin Fiyatlama Modelinin Belirlenmesi

Abstract

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

Keywords

• Varant, opsiyon fiyatlama modelleri, İMKB

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