An evaluation of binomial model with implied volatility in pricing warrant / Khairu Azlan Abd Aziz ... [et al.]

Abd Aziz, Khairu Azlan and Mohd Abduh, Wan Mohd Yaseer and Mohd Idris, Mohd Fazril Izhar and Saian, Rizauddin (2018) An evaluation of binomial model with implied volatility in pricing warrant / Khairu Azlan Abd Aziz ... [et al.]. Jurnal Intelek, 13 (1). pp. 37-43. ISSN 2682-9223

Abstract

There are various models that can be applied in pricing warrant. In this study, the Binomial model with implied volatility was chosen to calculate the warrant price. The price of warrant obtained from the model will be compared with the actual price to check the accuracy and consistency of the warrant price. Several companies which issues warrant will be randomly selected from Bursa Malaysia list. Information on underlying shares and warrants were collected from UiTM data stream start on January 2016 until May 2017. Parameters like exercise price or strike price, interest rate, maturity date and volatility are involves in pricing warrant. This study also discussed on moneyness which determines either the mother shares of the warrant are in-the-money, at-the-money or out-the-money.

Metadata

Item Type: Article
Creators:
Creators
Email / ID Num.
Abd Aziz, Khairu Azlan
UNSPECIFIED
Mohd Abduh, Wan Mohd Yaseer
UNSPECIFIED
Mohd Idris, Mohd Fazril Izhar
UNSPECIFIED
Saian, Rizauddin
UNSPECIFIED
Subjects: H Social Sciences > HG Finance > Investment, capital formation, speculation > Stock price indexes. Stock quotations
Q Science > QA Mathematics > Probabilities
Q Science > QA Mathematics > Time-series analysis
Divisions: Universiti Teknologi MARA, Perlis > Arau Campus
Journal or Publication Title: Jurnal Intelek
UiTM Journal Collections: UiTM Journal > Jurnal Intelek (JI)
ISSN: 2682-9223
Volume: 13
Number: 1
Page Range: pp. 37-43
Keywords: Warrant, binomial model, implied volatility, price, moneyness
Date: June 2018
URI: https://ir.uitm.edu.my/id/eprint/41196
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