Comparison of warrant pricing models
Thesis title: | Comparison of warrant pricing models |
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Author: | Karpišová, Iveta |
Thesis type: | Diploma thesis |
Supervisor: | Witzany, Jiří |
Opponents: | Kravtsov, Oleg |
Thesis language: | English |
Abstract: | The theme of this master’s thesis is warrant pricing methods. Four models will be presented, the benchmark Black-Scholes model originally developed for option pricing, the diluted version, the Galai-Schneller model and the Ukhov model implementing the firm volatility. Fourteen warrants quoted on the Hong Kong Stock Exchange are priced in the practical part. Appropriate risk-free rate and volatility measures are discussed. In the empirical part of the work results of the pricing models are presented. Author used three volatility estimation methods, the standard equal weighted, GARCH and implied volatility. The best results were given by the combination of the Galai-Schneller model and the implied volatility. The Black-Scholes model intended for option valuation performed the worst. |
Keywords: | warrant; Black; Scholes; Schneller; Ukhov; GARCH; Galai; implied volatility |
Thesis title: | Porovnanie modelov pre oceňovanie warrantov |
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Author: | Karpišová, Iveta |
Thesis type: | Diplomová práce |
Supervisor: | Witzany, Jiří |
Opponents: | Kravtsov, Oleg |
Thesis language: | English |
Abstract: | Témou diplomovej práce je oceňovanie warrantov. Budú predstavené štyri modely, základný Black-Scholes model pôvodne určený pre oceňovanie opcií, jeho alternatíva upravená o mieru rozdelenia, Galai-Schneller model a Ukhov model implementujúci volatilitu firmy. V praktickej časti bude ocenených štrnásť warrantov kótovaných na Hong Kong burze. Podnetom diskusie bude vhodný výber risk-free sadzby a metódy odhadu volatility. V praktickej časti práce sú prezentované výsledky ocenenia, pričom autorka uvádza 3 možnosti odhadu volatility, štandardnú metódu rovnakých váh, GARCH model a implikovanú volatilitu an základe tržných dát. Najlepšie výsledky mal Galai-Schneller model v kombinácii s implikovanou volatilitou. Black Scholes model určený pre oceňovavnie opcií mal výsledky najhoršie. |
Keywords: | Black; warrant; Scholes; GARCH; implied volatility; Galai; Schneller; Ukhov |
Information about study
Study programme: | Finance a účetnictví/Finanční inženýrství |
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Type of study programme: | Magisterský studijní program |
Assigned degree: | Ing. |
Institutions assigning academic degree: | Vysoká škola ekonomická v Praze |
Faculty: | Faculty of Finance and Accounting |
Department: | Department of Banking and Insurance |
Information on submission and defense
Date of assignment: | 2. 4. 2019 |
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Date of submission: | 28. 1. 2020 |
Date of defense: | 13. 2. 2020 |
Identifier in the InSIS system: | https://insis.vse.cz/zp/69418/podrobnosti |