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
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_322120 |
| Date | January 1998 |
| Contributors | Ho, Ka-Hon., Lai, Chun-Yin Antony., Chinese University of Hong Kong Graduate School. Division of Business Administration. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, vii, 50 leaves ; 30 cm. |
| Coverage | China, Hong Kong |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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