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Pricing of Covered Warrants: An Analysis on Borsa İstanbul

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  • Melek AKSU
  • Şakir SAKARYA

Abstract

This paper examines the pricing of 23 call and 23 put covered warrants based on Eregli Demir Celik Fabrikaları T.A.S. stocks, issued and expired in 2015. Black-Scholes, and Gram-Charlier pricing models are used to price covered warrants. Empirical results show that pricing performance of BlackScholes model is better for call warrants while pricing performance of Gram-Charlier model is better for put warrants. It is also indicated that observed market prices are irrationally higher than model prices and both of models are not so succesfull for pricing warrants in Turkey.Classification-JEL: G10, G12.Keywords: Covered Warrants, Black-Scholes, Gram-Charlier, Pricing.Issue:26(37)

Suggested Citation

  • Melek AKSU & Şakir SAKARYA, 2018. "Pricing of Covered Warrants: An Analysis on Borsa İstanbul," Sosyoekonomi Journal, Sosyoekonomi Society.
    • Handle: RePEc:sos:sosjrn:180311
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    References listed on IDEAS

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    More about this item

    Keywords

    covered warrants; black-scholes; gram-charlier; pricing.issue:26(37);
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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