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An investigation into the reasons for the pricing differences betweeen a warrant and an option on the same stock in the South African derivatives market

dc.contributor.authorJordaan, F. Y.
dc.contributor.authorVan Rooyen, J. H.
dc.date.accessioned2011-08-15T10:25:07Z
dc.date.available2011-08-15T10:25:07Z
dc.date.issued2010
dc.identifier.citationJordaan, F. Y. & Van Rooyen, J.H. 2010. An investigation into the reasons for the pricing differences between a warrant and an option on the same stock in the South African derivatives market. Corporte ownership and control, 8(1), Fall 2010, Continued-3en_ZA
dc.identifier.issn1727-9232 (print)
dc.identifier.issn1810-0368 (CD)
dc.identifier.issn1810-3057 (online)
dc.identifier.urihttp://hdl.handle.net/10019.1/16086
dc.descriptionThe original publication is available at http://www.virtusinterpress.org/journals-coc-index.htmlen_ZA
dc.description.abstractThis study set out to draw a pricing comparison between two similar contracts in the South African derivatives market. These contracts, a normal option and a warrant on the same underlying stock are considered. The research shows that although the two derivatives are the same in all respects, the premiums differ substantially when priced with the Black-Scholes-Merton model. It is clear that pricing has to take place over the same calendar period due to market changes when comparing the instruments. The Black-Scholes-Merton model was the proposed model to be used. However, due to certain limitations the Modified Black model was used as the best suited model. It was shown that warrant contracts always have a higher implied volatility and a higher premium than a comparable normal option per share of the same stock. These results were compared with similar studies conducted in the European markets.en_ZA
dc.language.isoen_ZAen_ZA
dc.publisherVirtus Interpressen_ZA
dc.subjectBlack-Scholes-Merton modelen_ZA
dc.subjectStock warrantsen_ZA
dc.subjectDerivative securitiesen_ZA
dc.subjectStock pricesen_ZA
dc.titleAn investigation into the reasons for the pricing differences betweeen a warrant and an option on the same stock in the South African derivatives marketen_ZA
dc.typeArticleen_ZA
dc.description.versionPublishers' Versionen_ZA
dc.rights.holderVirtus Interpressen_ZA


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