Publication detail

Pricing of Traded Warrants

Author(s): PhDr. Petr Gapko Ph.D.,
Type: Articles in refereed journals
Year: 2010
Number: 0
ISSN / ISBN: 1212-3951
Published in: Ekonomická Revue
Publishing place: Ostrava
Keywords: hyperbolic model, warrant, Black-Scholes model, binomial model, volatility, hyperbolic distribution
JEL codes: G11, G12, G24
Suggested Citation:
Grants: 402/09/H045 - Nelineární dynamika v peněžní ekonomii a financích. Teorie a empirické modely GAUK 46108: New Nonlinear Capital Markets Theories: Fractal, Bifurcational and Behavioral Approach
Abstract: In the last two decades a special market with option contracts specialized for retail investors has developed in Europe. Warrant had become the right option contract with corresponding attributes. Substantial part of this work is pointed at possibilities and ways of warrant pricing. A useful innovation is the usage of pricing models based on alternative distributions. In our work, we use class of generalized hyperbolic distributions, which demonstrates good empirical performance in describing stock returns. The problem is that this class of distributions is mathematically rather more demanding but after handling these mathematical difficulties there is a new way opening for describing performance of stock behavior. Pricing is in this work shown on warrants with a ČEZ share as an underlying asset.
Downloadable: Download Paper (PDF)

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance