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An empirical test of the BS and CSR valuation models for warrants listed in Thailand

  • Shastri, Kuldeep
  • Sirodom, Kulpatra

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Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

Volume (Year): 3 (1995)
Issue (Month): 4 (December)
Pages: 465-483

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Handle: RePEc:eee:pacfin:v:3:y:1995:i:4:p:465-483
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  1. Whaley, Robert E., 1982. "Valuation of American call options on dividend-paying stocks : Empirical tests," Journal of Financial Economics, Elsevier, vol. 10(1), pages 29-58, March.
  2. Shastri, Kuldeep & Tandon, Kishore, 1986. "An Empirical Test of a Valuation Model for American Options on Futures Contracts," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(04), pages 377-392, December.
  3. Leland, Hayne E, 1985. " Option Pricing and Replication with Transactions Costs," Journal of Finance, American Finance Association, vol. 40(5), pages 1283-1301, December.
  4. Bodurtha, James N. & Courtadon, Georges R., 1987. "Tests of an American Option Pricing Model on the Foreign Currency Options Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(02), pages 153-167, June.
  5. Schwartz, Eduardo S., 1977. "The valuation of warrants: Implementing a new approach," Journal of Financial Economics, Elsevier, vol. 4(1), pages 79-93, January.
  6. Shastri, Kuldeep & Tandon, Kishore, 1987. "Valuation of American options on foreign currency," Journal of Banking & Finance, Elsevier, vol. 11(2), pages 245-269, June.
  7. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  8. Whaley, Robert E, 1986. " Valuation of American Futures Options: Theory and Empirical Tests," Journal of Finance, American Finance Association, vol. 41(1), pages 127-50, March.
  9. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
  10. Wiggins, James B., 1987. "Option values under stochastic volatility: Theory and empirical estimates," Journal of Financial Economics, Elsevier, vol. 19(2), pages 351-372, December.
  11. Nisbet, Mary, 1992. "Put-call parity theory and an empirical test of the efficiency of the London Traded Options Market," Journal of Banking & Finance, Elsevier, vol. 16(2), pages 381-403, April.
  12. Leonard, David C & Solt, Michael E, 1990. "On Using the Black-Scholes Model to Value Warrants," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(2), pages 81-92, Summer.
  13. Galai, Dan & Schneller, Meir I, 1978. "Pricing of Warrants and the Value of the Firm," Journal of Finance, American Finance Association, vol. 33(5), pages 1333-42, December.
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