Pricing warrant using black sholes model : comparison between implied and historical volatility / Khairul Nizam Khairul Anuar

Khairul Anuar, Khairul Nizam (2019) Pricing warrant using black sholes model : comparison between implied and historical volatility / Khairul Nizam Khairul Anuar. [Student Project] (Unpublished)

Abstract

Warrants are securities that will give the stockholder the right, but does not become an obligation to buy some securities at a certain price before a certain time. The purpose for this research is to study the pricing warrants using Black-Scholes Model. Several companies have been chosen from UiTM Data Stream library. The company is Boon Koon Group Bhd, Hovid Bhd, Kelington Group Bhd, MGB Bhd and Sersol Bhd. These companies were randomly selected from their company data that have been provided. In this study, there are Historical and implied volatility is implemented for identifying certain information for future use. Historical volatility was applied to describe the price movement of underlying assets. Meanwhile Implied volatility was applied to describe predict the potential of market for underlying market price in future. Among all companies, Sersol Bhd shows the most volatile for price movement of underlying price but shows less volatile from potential of market price compare to others companies. The pricing warrants is important because it will influence the market price in the future. Money-ness is the relationship between underlying prices with exercise price of the warrant. There are three type of money-ness which is in-the-money, out-of-money and at-the-money. From the study, Boon Koon Group Bhd, Hovid Bhd and MBG Bhd shows the companies is in-the-money and the other two shows out-of-money. It is indicated that companies with in-the-money type of money-ness will give the investor profit from their investment and for out-the-money are not profitable for investor to invest. From this study, it can be concluded that Black-Scholes Model is the best model to choose for calculating the pricing warrants.

Metadata

Item Type: Student Project
Creators:
Creators
Email / ID Num.
Khairul Anuar, Khairul Nizam
UNSPECIFIED
Subjects: H Social Sciences > HD Industries. Land use. Labor > Management. Industrial Management
H Social Sciences > HD Industries. Land use. Labor > Industry > Industrial policy. The state and industrial organization
Divisions: Universiti Teknologi MARA, Perlis > Arau Campus > Faculty of Computer and Mathematical Sciences
Keywords: Pricing Warrants ; Black-Scholes Model ; calculating
Date: 25 November 2019
URI: https://ir.uitm.edu.my/id/eprint/26580
Edit Item
Edit Item

Download

[thumbnail of PPb_KHAIRUL NIZAM KHAIRUL ANUAR CS R 19_5.pdf] Text
PPb_KHAIRUL NIZAM KHAIRUL ANUAR CS R 19_5.pdf

Download (235kB)

Digital Copy

Digital (fulltext) is available at:

Physical Copy

Physical status and holdings:
Item Status:

ID Number

26580

Indexing

Statistic

Statistic details