| Summary: | 碩士 === 國立彰化師範大學 === 商業教育學系 === 89 === This study makes some lists and comparisons about warrants of Taiwan to help investors know more about them.
The research adopts “Historical Volatility” and “Implied Volatility” with “Black-Scholes option pricing model”,” Two binomial option pricing model”,” Leland option pricing model” and “Boyle&Vorst option pricing model” as the tools of doing an empirical study about pricing the single-stock warrants of Taiwan. We got eight different model prices for each warrant and made comparisons with market prices to get the absolute errors and regressed them to find out what causes the errors.
First, the implied volatility was much higher than the historical volatility does, and the model price with implied volatility is closer to market price than with historical volatility. Second, Boyle&Vorst model has smaller absolute pricing error than the other three pricing models when historical volatility was used, but Black-Scholes option pricing model was the best when implied volatility was implied.
Moneyness、Time to mature、The volatility of stock all influence the absolute pricing errors, but there is no systematic correlation between the volume of market and the pricing errors.
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