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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

The pricing of Hong Kong wattants : an empirical study of the performance of the Kassouf, Black-Scholes and constant elasticity variance option pricing models /

Chow, Wai-keung. January 1993 (has links)
Thesis (M. Soc. Sc.)--University of Hong Kong, 1993. / Includes bibliographical references (leaves 53-54).
2

The pricing of Hong Kong wattants an empirical study of the performance of the Kassouf, Black-Scholes and constant elasticity variance option pricing models /

Chow, Wai-keung. January 1993 (has links)
Thesis (M.Soc.Sc.)--University of Hong Kong, 1993. / Includes bibliographical references (leaves 53-54) Also available in print.
3

A test of the Black-Scholes Psuedo American Option Pricing Formula on Hong Kong warrants: an exploration.

January 1990 (has links)
by Chung Shek-wah Eric, Mok Tze-shan Teresa. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1990. / Bibliography: leaves 50-52. / ACKNOWLEDGEMENT --- p.ii / ABSTRACT --- p.iii / TABLE OF CONTENTS --- p.iv / LIST OF TABLES --- p.vi / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- WARRANT PRELIMINARIES --- p.3 / Warrants 一一 Rights to Buy --- p.3 / History of Warrants in Hong Kong --- p.4 / Chapter III. --- LITERATURE REVIEW --- p.7 / Various Tests of OFF --- p.7 / Test of Robustness --- p.8 / Test of Unbiasedness --- p.8 / Test of Hedge Return Behavior --- p.9 / Test of Predictabi1ity --- p.9 / The Development of the Black-Scholes OPF --- p.11 / Chapter IV. --- METHODOLOGY --- p.14 / The Black-Scholes OPF and Its Underlying Assumptions --- p.16 / The Treatment of Dividend Payments and Ear1y Exercise --- p.17 / Data Collection- --- p.20 / Chapter V. --- FINDINGS --- p.29 / Results from the Original Data Group with 40 Warrants --- p.33 / Results from the Second Data Group with 34 Warrants --- p.35 / Chapter VI. --- CONCLUDING COMMENTS --- p.38 / APPENDIX --- p.40 / BIBLIOGRAPHY --- p.50
4

The pricing of Hong Kong wattants: an empirical study of the performance of the Kassouf, Black-Scholes andconstant elasticity variance option pricing models

周煒強, Chow, Wai-keung. January 1993 (has links)
published_or_final_version / Applied Statistics / Master / Master of Social Sciences
5

Reasons for financing R & D using the SWORD structure /

Theodossiou, Alexandra Kleanthis. Szewczyk, Samuel. January 2007 (has links)
Thesis (Ph. D.)--Drexel University, 2007. / Includes abstract and vita. Includes bibliographical references (leaves 78-83).
6

Are the covered warrants fairly priced by the market?.

January 1996 (has links)
by Chau Wing Hang, Amy, Tsang Tsz Hung. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1996. / Includes bibliographical references (leaf 83). / ABSTRACT --- p.i / TABLE OF CONTENTS --- p.v / ACKNOWLEDGMENTS --- p.viii / Chapter / Chapter 1. --- INTRODUCTION --- p.1 / Chapter 1.1 --- Objective of Study --- p.1 / Chapter 1.2 --- Scope of Study --- p.1 / Chapter 1.3 --- Background on Warrant and Covered Warrant --- p.2 / Chapter 1.3.1 --- What is Warrant and Covered Warrant? --- p.2 / Chapter 1.3.2 --- Convertible Concept --- p.3 / Chapter 1.3.3 --- Purposes of Issue --- p.4 / Chapter 1.3.4 --- Dilution Effect --- p.6 / Chapter 1.3.5 --- Valuation of Warrant/Covered Warrant --- p.7 / Chapter 1.4 --- Warrant/Covered Warrant Market in Hong Kong --- p.8 / Chapter 1.4.1 --- Expiry --- p.9 / Chapter 1.4.2 --- Forms of Issue --- p.10 / Chapter 1.4.3 --- Trading Forums --- p.11 / Chapter 1.4.4 --- Underlying Securities --- p.12 / Chapter 2. --- LITERATURE REVIEW --- p.13 / Chapter 2.1 --- Binomial Tree Model --- p.13 / Chapter 2.2 --- Black-Scholes Model --- p.16 / Chapter 3. --- METHODOLOGY --- p.18 / Chapter 3.1 --- Working Procedures --- p.19 / Chapter 3.2 --- Samples --- p.20 / Chapter 3.3 --- Data Collection --- p.22 / Chapter 3.4 --- Computation of Theoretical Prices --- p.24 / Chapter 3.5 --- Black's Approximation --- p.25 / Chapter 3.6 --- Fair Value --- p.27 / Chapter 3.6.1 --- Option Pricing Models --- p.27 / Chapter 3.6.2 --- Comparison between P tw bt and P tw ba --- p.28 / Chapter 3.6.3 --- Result of Comparison --- p.29 / Chapter 3.6.3.1 --- Results on Hypothesis Testing --- p.29 / Chapter 3.6.3.2 --- Results on Regressional Analysis --- p.30 / Chapter 3.6.4 --- Justification --- p.32 / Chapter 3.7 --- Hypothesis Testing --- p.34 / Chapter 3.8 --- Assumptions In Our Study --- p.34 / Chapter 4. --- FINDINGS --- p.36 / Chapter 4.1 --- Calculation with 250-day Historical Volatility --- p.36 / Chapter 4.1.1 --- First Sub-period (Sep 1,94 - Feb 28,95) --- p.36 / Chapter 4.1.2 --- "Second Sub-period (Mar 1,95-Aug 31,95)" --- p.37 / Chapter 4.1.3 --- "Whole Study Period (Sep 1, 94-Aug 31,95)" --- p.37 / Chapter 4.2 --- Calculation with 63-day Historical Volatility --- p.39 / Chapter 4.2.1 --- "First Sub-period (Sep 1, 94 - Feb 28,95)" --- p.39 / Chapter 4.2.2 --- "Second Sub-period (Mar 1, 95 - Aug 31,95)" --- p.39 / Chapter 4.2.3 --- "Whole Study Period (Sep 1,94-Aug 31,95)" --- p.40 / Chapter 5. --- CONCLUSION AND COMMENTS --- p.41 / Chapter 5.1 --- General Comments --- p.41 / Chapter 5.2 --- Volatility --- p.42 / Chapter 5.3 --- Expectations --- p.44 / Chapter 5.4 --- Transaction Costs --- p.45 / Chapter 6. --- LIMITATIONS OF STUDY --- p.46 / APPENDIX --- p.47 / Chapter 1 --- List of Covered Warrants / Chapter 2 --- Historical Volatility Calculation of Ordinary Stock Example : New World Development Co. Ltd “017´ح / Chapter 3 --- "Black's Approximation Calculation and Hypothesis Testing Example : Morgan S - NWD War 96 ""1036""" / Chapter 4 --- "Comparison between P tw bt and P twBA Example : SG War - HKTEL War 95 ""1098"" Morgan S- NWD War 96 ""1036"" Swiss B - HLAMD War 95 “344""" / Chapter 5 --- Results on 250-Day Historical Volatility / Chapter 6 --- Results on 63-Day Historical Volatility / Chapter 7 --- "Chart - Pw vs Ptw BA Example : Morgan S - NWD War 96 “1036´ح Swiss B - HLAND War 95 ""344""" / Chapter 8 --- "Chart - Historical Volatility Example : New World Development Co. Ltd. “017´ح HSBC Holdings plc. ""005""" / BIBLIOGRAPHY --- p.83
7

Warrant pricing in Hong Kong.

January 1998 (has links)
by Ho Ka-Hon, Lai Chun-Yin Antony. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 48-50). / ABSTRACT --- p.II / TABLE OF CONTENT --- p.IV / LIST OF TABLES --- p.VI / ACKNOWLEGEMENT --- p.VII / Chapter 1. --- INTRODUCTION --- p.1 / Chapter 2. --- WARRANT MARKET IN HONG KONG --- p.2 / Chapter 2.1 --- Features of Options --- p.2 / Chapter 2.2 --- Derivative Securities Listed on the Hong Kong Stock Exchange --- p.3 / Chapter 2.3 --- Discussion on Covered Warrants in SEHK --- p.4 / Chapter 2.4 --- Hedging Strategies of Covered Warrants Issuers --- p.6 / Chapter 2.5 --- Regulatory Environment of Derivative Warrants --- p.6 / Chapter 3. --- WARRANT VALUATION --- p.9 / Chapter 3.1 --- Factors Affecting Warrant Price --- p.9 / Chapter 3.2 --- Put-Call Parity --- p.10 / Chapter 3.3 --- Black-Scholes Model --- p.11 / Chapter 3.4 --- Absolute Diffusion Model --- p.12 / Chapter 1.5 --- Square-Root CEV Model --- p.13 / Chapter 4. --- LITERATURE REVIEW --- p.15 / Chapter 5. --- DATA AND METHODOLOGY --- p.19 / Chapter 5.1 --- Sample Data --- p.19 / Chapter 5.2 --- Measure the Performance of Warrant Pricing Models --- p.21 / Chapter 5.3 --- Data Enhancement --- p.23 / Chapter 5.4 --- Explanatory Factors of the Pricing Errors --- p.25 / Chapter 6. --- DATA ANALYSIS --- p.27 / Chapter 6.1 --- Performance of Black-Scholes Model --- p.27 / Chapter 6.1.1 --- Data Enhancement --- p.28 / Chapter 6.1.2 --- Other Observations --- p.30 / Chapter 6.2 --- Performance of Absolute Diffusion Model --- p.31 / Chapter 6.2.1 --- Data Enhancement --- p.32 / Chapter 6.2.2 --- Other Observations --- p.34 / Chapter 6.3 --- Performance of Square Root CEV Model --- p.35 / Chapter 6.3.1 --- Data Enhancement --- p.35 / Chapter 6.3.2 --- Other Observations --- p.37 / Chapter 6.4 --- Comparison between the Warrant Pricing Models --- p.38 / Chapter 6.5 --- The Performance in Blue Chip Warrants and Red Chip Warrants --- p.40 / Chapter 6.6 --- Factors Affecting the Pricing Errors --- p.41 / Chapter 6.7 --- Comparison with Other Studies --- p.43 / Chapter 7. --- CONCLUSION --- p.46 / REFERENCE --- p.48
8

The impact of new issues of derivative securities and the underlying blue chip securities /

Yeh, Ho-leung, Patrick. January 1998 (has links)
Thesis (M.B.A.)--University of Hong Kong, 1998. / Includes bibliographical references (leaf 40-41).
9

A revisit to the applicability of option pricing models on the Hong Kong warrants market after the stock option is introduced /

Lam, Yue-kwong. January 1996 (has links)
Thesis (M.B.A.)--University of Hong Kong, 1996. / Includes bibliographical references (leaf 47-49).
10

Warrant prices in the context of the option pricing model and the efficiency of the New York Stock Exchange

Patterson, Douglas MacLennan, January 1978 (has links)
Thesis--Wisconsin. / Vita. eContent provider-neutral record in process. Description based on print version record.

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