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

Yıl 2014, Cilt: 14 Sayı: 1, 63 - 71, 01.02.2014

Öz

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

Kaynakça

  • Barone-Adesi, G. ve Whaley, R.E. (1987) “Efficient Analytic Approximation of American Option Values” The Journal of Finance, 42(2):301-320.
  • Beckers, S. (1980) “The Constant Elasticity of Variance Model and Its Implications For Option Pricing” The Journal of Finance, 35(3):661-673.
  • Bjerksund, P., Stensland, G. (1993) “Closed-Form Approximation of American Options” Scandinavian Journal of Management, 9(1):87-99.
  • Black, F. ve Scholes, M.S. (1973) “The Pricing of Options and Corporate Liabilities” Journal of Political Economy, 81(3):637-654.
  • Boonchuaymetta, E. ve Kongtoranin, T. (2007) “Warrant Pricing Model: An Empirical Study on the Valuation Models for Warrants Listed in Thailand” AU Journal of Management, 5(2):56-66.
  • Chen, K.C., Shahrokhi, M. ve Wilson, J. (1997) “Pricing Financial Times-Stock Exchange Index Warrants” American Business Review, 22(2): 44-51.
  • Corrado, C.J. ve Su, T. (1996) “S&P 500 INDEX Option Tests of Jarrow and Rudd’s Approximate Option Valuation” The Journal of Futures Markets, 16(6): 611- 629.
  • Cox, J.C., Ross, S.A. ve Rubinstein, M. (1979) “Option Pricing: A Simplified Approach” Journal of Financial Economics, 7(3):229-263.
  • Frino, A., Khan, E. ve Lodh, S.C. (1991) “The Black Scholes Call Option Pricing Model and the Australian Options Market: Where Are We After 15 Years” University of Wollongong, Accounting & Finance Working Paper, No:91/24.
  • Galai, D., Schneller, M.I. (1978) “Pricing of Warrants and The Value of The Firm” The Journal of Finance, 33(5):1333-1342.
  • Geske, R. (1979) “The valuation of compound options” Journal of Financial Economics, 7(1):63-81.
  • Hauser, S., Lauterbach, B. (1997) “The Relative Performance of Five Alternative Warrant Pricing Models” Financial Analysts Journal, 53(1):55-61.
  • Jianfeng, Z., Wenxiu, H. ve Li, Z. (2011) “The Relative Performance of Four Alternative Warrant Pricing Models: A Study of the Chinese Warrant Markets” System Science Engineering Design and Manufacturing Informatization (ICSEM), International Conference, 22-23 October.
  • Khelifa, Z.B. ve Abbassi, W. (2009) “Pricing Warrants Models: An Empirical Study of The Indonesian Market” 5ème Conférence Internationale de Finance, 12-13-14 March, Hammamet, Tunisie.
  • Kremer, J.W. ve Roenfeldt, R.L. (1993) “Warrant Pricing: Jump-Diffusion vs. Black-Scholes” The Journal of Financial and Quantitative Analysis, 28(2):255-272.
  • Kolb, R.W. (1995) Understanding Options, USA, Wiley.
  • Kuwahara, H. ve Marsh, T.A. (1992) “The Pricing of Japanese Equity Warrants” Management Science, 38(11):1610-1641.
  • Lauterbach, B. ve Schultz, P. (1990) “Pricing Warrants: An Empirical Study of the Black-Scholes Model and Its Alternatives” The Journal of Finance, 45(4):1181-1209.
  • Lekkas, G. (2002) “Option Pricing in the Presence of Warrants” Master Thesis, Condordia University, John Molson School of Business, School of Graduate Studies.
  • Longstaff, F. (1990) “Pricing Options with Extendible Maturities: Analysis and Applications” Journal of Finance, 45(3):935-57.
  • Mayo, H.B. (2010) Investments: An Introduction, USA, South-Western College Publucation.
  • Merton, R.C. (1973) “Theory of Rational Option Pricing” The Bell Journal of Economics and Management Science, 4(1):141-183.
  • Noreen, E. ve Wolfson, M. (1981) “Equilibrium Warrant Pricing Models and Accounting for Executive Stock Options” Journal of Accounting Research, 19(2):384- 398.
  • Penza, P. ve Bansal, V.K. (2001) Measuring Market Risk with Value at Risk, USA, Wiley.
  • Roll, R. (1977) “An Analytical Formula for Unprotected American Call Options on Stocks with Known Dividends” Journal of Financial Economics, 5(2):251-258.
  • Roon, F. ve Veld, C. (1996) “An Empirical Investigation of The Factors That Determine The Pricing of Dutch Index Warrants” European Financial Management, 2(1):97-112.
  • Santoso, L.E. (2000) “Warrant Pricing: An Empirical Investigation On The Valuation Models For Warrants Traded At The Jakarta Stock Exchange” Master Thesis, Gadjah Mada University, Program of Graduate Studies.
  • Shastri, K. ve Sirodom, K. (1995) “An Empirical Test of The BS and CSR Valuation Models for Warrants Listed in Thailand” Pacific-Basin Finance Journal, 3(4):465-483.
  • Veld, C. (2003) “Warrant Pricing: A Review of Empirical Research” The European Journal of Finance, 9(1):61-91.
  • Whaley, R.E. (1981) “On the valuation of American Call Options on Stocks With Known Dividends” Journal of Financial Economics, 9(2):207-211.

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

Yıl 2014, Cilt: 14 Sayı: 1, 63 - 71, 01.02.2014

Öz

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

Kaynakça

  • Barone-Adesi, G. ve Whaley, R.E. (1987) “Efficient Analytic Approximation of American Option Values” The Journal of Finance, 42(2):301-320.
  • Beckers, S. (1980) “The Constant Elasticity of Variance Model and Its Implications For Option Pricing” The Journal of Finance, 35(3):661-673.
  • Bjerksund, P., Stensland, G. (1993) “Closed-Form Approximation of American Options” Scandinavian Journal of Management, 9(1):87-99.
  • Black, F. ve Scholes, M.S. (1973) “The Pricing of Options and Corporate Liabilities” Journal of Political Economy, 81(3):637-654.
  • Boonchuaymetta, E. ve Kongtoranin, T. (2007) “Warrant Pricing Model: An Empirical Study on the Valuation Models for Warrants Listed in Thailand” AU Journal of Management, 5(2):56-66.
  • Chen, K.C., Shahrokhi, M. ve Wilson, J. (1997) “Pricing Financial Times-Stock Exchange Index Warrants” American Business Review, 22(2): 44-51.
  • Corrado, C.J. ve Su, T. (1996) “S&P 500 INDEX Option Tests of Jarrow and Rudd’s Approximate Option Valuation” The Journal of Futures Markets, 16(6): 611- 629.
  • Cox, J.C., Ross, S.A. ve Rubinstein, M. (1979) “Option Pricing: A Simplified Approach” Journal of Financial Economics, 7(3):229-263.
  • Frino, A., Khan, E. ve Lodh, S.C. (1991) “The Black Scholes Call Option Pricing Model and the Australian Options Market: Where Are We After 15 Years” University of Wollongong, Accounting & Finance Working Paper, No:91/24.
  • Galai, D., Schneller, M.I. (1978) “Pricing of Warrants and The Value of The Firm” The Journal of Finance, 33(5):1333-1342.
  • Geske, R. (1979) “The valuation of compound options” Journal of Financial Economics, 7(1):63-81.
  • Hauser, S., Lauterbach, B. (1997) “The Relative Performance of Five Alternative Warrant Pricing Models” Financial Analysts Journal, 53(1):55-61.
  • Jianfeng, Z., Wenxiu, H. ve Li, Z. (2011) “The Relative Performance of Four Alternative Warrant Pricing Models: A Study of the Chinese Warrant Markets” System Science Engineering Design and Manufacturing Informatization (ICSEM), International Conference, 22-23 October.
  • Khelifa, Z.B. ve Abbassi, W. (2009) “Pricing Warrants Models: An Empirical Study of The Indonesian Market” 5ème Conférence Internationale de Finance, 12-13-14 March, Hammamet, Tunisie.
  • Kremer, J.W. ve Roenfeldt, R.L. (1993) “Warrant Pricing: Jump-Diffusion vs. Black-Scholes” The Journal of Financial and Quantitative Analysis, 28(2):255-272.
  • Kolb, R.W. (1995) Understanding Options, USA, Wiley.
  • Kuwahara, H. ve Marsh, T.A. (1992) “The Pricing of Japanese Equity Warrants” Management Science, 38(11):1610-1641.
  • Lauterbach, B. ve Schultz, P. (1990) “Pricing Warrants: An Empirical Study of the Black-Scholes Model and Its Alternatives” The Journal of Finance, 45(4):1181-1209.
  • Lekkas, G. (2002) “Option Pricing in the Presence of Warrants” Master Thesis, Condordia University, John Molson School of Business, School of Graduate Studies.
  • Longstaff, F. (1990) “Pricing Options with Extendible Maturities: Analysis and Applications” Journal of Finance, 45(3):935-57.
  • Mayo, H.B. (2010) Investments: An Introduction, USA, South-Western College Publucation.
  • Merton, R.C. (1973) “Theory of Rational Option Pricing” The Bell Journal of Economics and Management Science, 4(1):141-183.
  • Noreen, E. ve Wolfson, M. (1981) “Equilibrium Warrant Pricing Models and Accounting for Executive Stock Options” Journal of Accounting Research, 19(2):384- 398.
  • Penza, P. ve Bansal, V.K. (2001) Measuring Market Risk with Value at Risk, USA, Wiley.
  • Roll, R. (1977) “An Analytical Formula for Unprotected American Call Options on Stocks with Known Dividends” Journal of Financial Economics, 5(2):251-258.
  • Roon, F. ve Veld, C. (1996) “An Empirical Investigation of The Factors That Determine The Pricing of Dutch Index Warrants” European Financial Management, 2(1):97-112.
  • Santoso, L.E. (2000) “Warrant Pricing: An Empirical Investigation On The Valuation Models For Warrants Traded At The Jakarta Stock Exchange” Master Thesis, Gadjah Mada University, Program of Graduate Studies.
  • Shastri, K. ve Sirodom, K. (1995) “An Empirical Test of The BS and CSR Valuation Models for Warrants Listed in Thailand” Pacific-Basin Finance Journal, 3(4):465-483.
  • Veld, C. (2003) “Warrant Pricing: A Review of Empirical Research” The European Journal of Finance, 9(1):61-91.
  • Whaley, R.E. (1981) “On the valuation of American Call Options on Stocks With Known Dividends” Journal of Financial Economics, 9(2):207-211.
Toplam 30 adet kaynakça vardır.

Ayrıntılar

Diğer ID JA87ZY85SY
Bölüm Derleme
Yazarlar

Rıfat Karakuş Bu kişi benim

İsrafil Zor Bu kişi benim

Yayımlanma Tarihi 1 Şubat 2014
Yayımlandığı Sayı Yıl 2014 Cilt: 14 Sayı: 1

Kaynak Göster

APA Karakuş, R., & Zor, İ. (2014). Determination of Efficient Pricing Model for The Warrants Listed on The ISE. Ege Academic Review, 14(1), 63-71.
AMA Karakuş R, Zor İ. Determination of Efficient Pricing Model for The Warrants Listed on The ISE. eab. Şubat 2014;14(1):63-71.
Chicago Karakuş, Rıfat, ve İsrafil Zor. “Determination of Efficient Pricing Model for The Warrants Listed on The ISE”. Ege Academic Review 14, sy. 1 (Şubat 2014): 63-71.
EndNote Karakuş R, Zor İ (01 Şubat 2014) Determination of Efficient Pricing Model for The Warrants Listed on The ISE. Ege Academic Review 14 1 63–71.
IEEE R. Karakuş ve İ. Zor, “Determination of Efficient Pricing Model for The Warrants Listed on The ISE”, eab, c. 14, sy. 1, ss. 63–71, 2014.
ISNAD Karakuş, Rıfat - Zor, İsrafil. “Determination of Efficient Pricing Model for The Warrants Listed on The ISE”. Ege Academic Review 14/1 (Şubat 2014), 63-71.
JAMA Karakuş R, Zor İ. Determination of Efficient Pricing Model for The Warrants Listed on The ISE. eab. 2014;14:63–71.
MLA Karakuş, Rıfat ve İsrafil Zor. “Determination of Efficient Pricing Model for The Warrants Listed on The ISE”. Ege Academic Review, c. 14, sy. 1, 2014, ss. 63-71.
Vancouver Karakuş R, Zor İ. Determination of Efficient Pricing Model for The Warrants Listed on The ISE. eab. 2014;14(1):63-71.