Pricing warrant using black sholes model : comparison between implied and historical volatility / Khairul Nizam Khairul Anuar

Warrants are securities that will give the stockholder the right, but does not become an obligation to buy some securities at a certain price before a certain time. The purpose for this research is to study the pricing warrants using Black-Scholes Model. Several companies have been chosen from UiTM...

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Bibliographic Details
Main Author:	Khairul Anuar, Khairul Nizam
Format:	Student Project
Language:	English
Published:	Universiti Teknologi MARA, Perlis 2019
Subjects:	Management. Industrial Management Industrial policy. Government purchasing
Online Access:	http://ir.uitm.edu.my/id/eprint/26580/ http://ir.uitm.edu.my/id/eprint/26580/1/PPb_KHAIRUL%20NIZAM%20KHAIRUL%20ANUAR%20CS%20R%2019_5.pdf

id	uitm-26580
recordtype	eprints
spelling	uitm-265802019-11-25T08:38:58Z http://ir.uitm.edu.my/id/eprint/26580/ Pricing warrant using black sholes model : comparison between implied and historical volatility / Khairul Nizam Khairul Anuar Khairul Anuar, Khairul Nizam Management. Industrial Management Industrial policy. Government purchasing Warrants are securities that will give the stockholder the right, but does not become an obligation to buy some securities at a certain price before a certain time. The purpose for this research is to study the pricing warrants using Black-Scholes Model. Several companies have been chosen from UiTM Data Stream library. The company is Boon Koon Group Bhd, Hovid Bhd, Kelington Group Bhd, MGB Bhd and Sersol Bhd. These companies were randomly selected from their company data that have been provided. In this study, there are Historical and implied volatility is implemented for identifying certain information for future use. Historical volatility was applied to describe the price movement of underlying assets. Meanwhile Implied volatility was applied to describe predict the potential of market for underlying market price in future. Among all companies, Sersol Bhd shows the most volatile for price movement of underlying price but shows less volatile from potential of market price compare to others companies. The pricing warrants is important because it will influence the market price in the future. Money-ness is the relationship between underlying prices with exercise price of the warrant. There are three type of money-ness which is in-the-money, out-of-money and at-the-money. From the study, Boon Koon Group Bhd, Hovid Bhd and MBG Bhd shows the companies is in-the-money and the other two shows out-of-money. It is indicated that companies with in-the-money type of money-ness will give the investor profit from their investment and for out-the-money are not profitable for investor to invest. From this study, it can be concluded that Black-Scholes Model is the best model to choose for calculating the pricing warrants. Universiti Teknologi MARA, Perlis 2019-11-25 Student Project NonPeerReviewed text en http://ir.uitm.edu.my/id/eprint/26580/1/PPb_KHAIRUL%20NIZAM%20KHAIRUL%20ANUAR%20CS%20R%2019_5.pdf Khairul Anuar, Khairul Nizam (2019) Pricing warrant using black sholes model : comparison between implied and historical volatility / Khairul Nizam Khairul Anuar. [Student Project] (Unpublished)
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Teknologi MARA
building	UiTM Institutional Repository
collection	Online Access
language	English
topic	Management. Industrial Management Industrial policy. Government purchasing
spellingShingle	Management. Industrial Management Industrial policy. Government purchasing Khairul Anuar, Khairul Nizam Pricing warrant using black sholes model : comparison between implied and historical volatility / Khairul Nizam Khairul Anuar
description	Warrants are securities that will give the stockholder the right, but does not become an obligation to buy some securities at a certain price before a certain time. The purpose for this research is to study the pricing warrants using Black-Scholes Model. Several companies have been chosen from UiTM Data Stream library. The company is Boon Koon Group Bhd, Hovid Bhd, Kelington Group Bhd, MGB Bhd and Sersol Bhd. These companies were randomly selected from their company data that have been provided. In this study, there are Historical and implied volatility is implemented for identifying certain information for future use. Historical volatility was applied to describe the price movement of underlying assets. Meanwhile Implied volatility was applied to describe predict the potential of market for underlying market price in future. Among all companies, Sersol Bhd shows the most volatile for price movement of underlying price but shows less volatile from potential of market price compare to others companies. The pricing warrants is important because it will influence the market price in the future. Money-ness is the relationship between underlying prices with exercise price of the warrant. There are three type of money-ness which is in-the-money, out-of-money and at-the-money. From the study, Boon Koon Group Bhd, Hovid Bhd and MBG Bhd shows the companies is in-the-money and the other two shows out-of-money. It is indicated that companies with in-the-money type of money-ness will give the investor profit from their investment and for out-the-money are not profitable for investor to invest. From this study, it can be concluded that Black-Scholes Model is the best model to choose for calculating the pricing warrants.
format	Student Project
author	Khairul Anuar, Khairul Nizam
author_facet	Khairul Anuar, Khairul Nizam
author_sort	Khairul Anuar, Khairul Nizam
title	Pricing warrant using black sholes model : comparison between implied and historical volatility / Khairul Nizam Khairul Anuar
title_short	Pricing warrant using black sholes model : comparison between implied and historical volatility / Khairul Nizam Khairul Anuar
title_full	Pricing warrant using black sholes model : comparison between implied and historical volatility / Khairul Nizam Khairul Anuar
title_fullStr	Pricing warrant using black sholes model : comparison between implied and historical volatility / Khairul Nizam Khairul Anuar
title_full_unstemmed	Pricing warrant using black sholes model : comparison between implied and historical volatility / Khairul Nizam Khairul Anuar
title_sort	pricing warrant using black sholes model : comparison between implied and historical volatility / khairul nizam khairul anuar
publisher	Universiti Teknologi MARA, Perlis
publishDate	2019
url	http://ir.uitm.edu.my/id/eprint/26580/ http://ir.uitm.edu.my/id/eprint/26580/1/PPb_KHAIRUL%20NIZAM%20KHAIRUL%20ANUAR%20CS%20R%2019_5.pdf
first_indexed	2023-09-18T23:17:04Z
last_indexed	2023-09-18T23:17:04Z
_version_	1777419183661776896

Pricing warrant using black sholes model : comparison between implied and historical volatility / Khairul Nizam Khairul Anuar

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