The Black Scholes model is widely used as the first guess determinant of option prices. The most common input is volatility. In addition, this modelalso can be useful to examine mispricing in a warrants contract. Interestingly, the results from this test show the relationship between warrant prices and mispriced are “in the money”. Panel regression analysis finds that stock price, KLIBOR, and maturity as a significant variables in the warrant mispricing.

Selengkapnya klik DI SINI