期刊名称：Research Journal of Economics, Business and ICT
印刷版ISSN：2045-3345
电子版ISSN：2047-7848
出版年度：2015
卷号：10
期号：1
语种：English
出版社：English Time Schools & Overseas Education
其他摘要：The main issue during periods of financial crisis is to restore the investor’s confidence and attract them back to financial markets. Thus, the warrants have been a great help to relaunch many south East Asian financial markets just after the 1997 crisis, by encouraging investors to finance the restructuring of troubled companies. However, the few empirical studies which were interested in this product, was limited to the developed markets and in particular the American one. In this paper, we will try to emphasize the warrant’s specificities compared to the option ones. Then, we will seek to release the ideal model ready to provide the best pricing for this product. The comparison will relate to 3 models: the Black and Sholes model (BS), the Dilution Adjusted Black and Scholes model (DABS) and finally the modified Square Root Constant Elasticity of Variance (SRCEV) adjusted by the dilution effect. The empirical study, which is spread out over 3 years (2001–2003), will relate to an emergent market: the Jakarta Stock Exchange (JSX)
关键词：Black and Scholes; Constant elasticity variance; Dilution; Indonesian market; Moneyness; Warrant valuation
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