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Tesi sul tema "Warrants"

Autore: Grafiati

Pubblicato: 4 giugno 2021

Ultima modifica: 25 luglio 2025

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1

Chow, Wai-keung. "The pricing of Hong Kong wattants : an empirical study of the performance of the Kassouf, Black-Scholes and constant elasticity variance option pricing models /." [Hong Kong] : University of Hong Kong, 1993. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13787184.

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2

Andreé, Back Joakim. "Information efficiency of Swedish warrants- : Empirical tests of warrants quoted on the Swedish plain vanilla market." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Nationalekonomi, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-16066.

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Due to the sharpen regulation of the Swedish plain vanilla warrant in 2006 and the recent increase in trade among private investors, this thesis examined the informa-tion efficiency of Swedish plain vanilla warrants. This was done in three different ways. First the theoretical Black & Scholes (B&S) price was tested against the ac-tual market price. Secondly likelihood ratio test statistics was used to see whether information regarding past returns added any information to that already captured by the implied volatility (IV) generated from observed warrant market prices via the B&S

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3

周煒強 and Wai-keung Chow. "The pricing of Hong Kong wattants: an empirical study of the performance of the Kassouf, Black-Scholes andconstant elasticity variance option pricing models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1993. http://hub.hku.hk/bib/B31977297.

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4

Barbé, Laurent. "Le warrant agricole." Paris 1, 1988. http://www.theses.fr/1988PA010265.

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5

Lam, Yue-kwong. "A revisit to the applicability of option pricing models on the Hong Kong warrants market after the stock option is introduced /." Hong Kong : University of Hong Kong, 1996. http://sunzi.lib.hku.hk/hkuto/record.jsp?B18003515.

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6

Yeh, Ho-leung Patrick. "The impact of new issues of derivative securities and the underlying blue chip securities /." Hong Kong : University of Hong Kong, 1998. http://sunzi.lib.hku.hk/hkuto/record.jsp?B19872446.

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7

Gustafsson, Lars, and Marcus Lindberg. "Covered Warrants : How the Implied Volatility Changes Over Time." Thesis, Jönköping University, JIBS, Business Administration, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-260.

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<p>Problem: Investors are dependent on the issuers’ valuation of covered warrants because the issuers also act as market makers. Hence it is crucial that the issuers value each of the five variables used in the Black & Scholes pricing formula in the same way at both the buying and selling occasion. For a covered warrant investor the most important is-sue is the volatility and how it changes over time. This thesis will therefore search for differences in changes of implied volatility between the different issuers.</p><p>Purpose: The purpose of this thesis is to analyze differences and similarit

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8

Duda-Banwar, Janelle. "Living with Warrants: Life under the Sword of Damocles." Case Western Reserve University School of Graduate Studies / OhioLINK, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=case1554821330974267.

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9

Rodd, Mary Melissa. "Mathematical warrants, objects and actions in higher school mathematics." Thesis, Open University, 1998. http://oro.open.ac.uk/54372/.

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'Higher school mathematics' connotes typical upper secondary school and early college mathematics. The mathematics at this level is characterised by moves to (1) rigour in justification,(2) abstraction in content and (3) fluency in symbolic manipulation. This thesis investigates these three transitions - towards rigour, abstraction, and tluencyusing philosophical method: for each of the three transitions a proposition is presented and arguments are given in favour of that proposition. These arguments employ concepts and results from contemporary English language-medium philosophy and also rely

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10

Klinpratoom, Apinya. "An analysis of the covered warrants market in the UK." Thesis, University of Exeter, 2010. http://hdl.handle.net/10036/104798.

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The covered warrant market in the UK has gained in popularity over time since first launched in 2002. This has opened up an alternative investment choice which offers derivative securities with a life of typically one to two years. It seems to fulfill many of the functions of a traded options market. Since most research has been focused on options trading, the investigation on covered warrants trading is still very limited. This is also largely due to the lack of readily available data for end-traded covered warrants and the existing covered warrants. A unique set of hand-collected data, suppl

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11

Williams, Thomas Cephis. "Long-term oil warrants--an application to Venezuelan debt relief." Thesis, Massachusetts Institute of Technology, 1990. http://hdl.handle.net/1721.1/27974.

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12

McCarty, Ryan. "Leveraging Historical Thinking Heuristics as Warrants in Historical Argumentative Writing." Thesis, University of Illinois at Chicago, 2016. http://pqdtopen.proquest.com/#viewpdf?dispub=10295851.

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<p> This dissertation reports design-based research that determined the characteristics of an effective intervention to improve adolescent historical argumentative writing. This study involved 89 diverse 11th grade students, including approximately 50% Hispanic students and 12% students with disabilities. It compared a treatment that taught students to write warrants using historical thinking to explain how evidence supports a claim, and a comparison treatment that taught students to find and evaluate evidence for particular claims and sides. Both groups read a text set about the controversy s

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13

Kwok, Kam-Hong. "The pricing of warrants and the implications concerning market efficiency." HKBU Institutional Repository, 1994. http://repository.hkbu.edu.hk/etd_ra/8.

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14

Theodossiou, Alexandra Kleanthis Szewczyk Samuel. "Reasons for financing R & D using the SWORD structure /." Philadelphia, Pa. : Drexel University, 2007. http://hdl.handle.net/1860/1872.

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15

Yiu, Fan-lai, and 姚勳禮. "Applicability of various option pricing models in Hong Kong warrants market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1993. http://hub.hku.hk/bib/B3126590X.

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16

Yiu, Fan-lai. "Applicability of various option pricing models in Hong Kong warrants market /." [Hong Kong : University of Hong Kong], 1993. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13570493.

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17

CHEN, SHU-YU, and 陳書宇. "Mispricing of Warrants : Evidence of Taiwan Warrant Markets." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/gbmuvh.

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碩士<br>東海大學<br>財務金融學系<br>105<br>This paper explores the reasons for the mispricing of warrant traded in Taiwan market. The data period is from 2010 to 2016, and we use Taiwan exchange stock index as the underlying stock. We found mispricing phenomenon is consistent with the theory of arbitrage (Shleifer and Vishny, 1997) and the theory of asset float (Hong.Scheinkman and Xiong, 2006), so we use liquidity and turnover in this study as the control of independent variables. Li and Zhang (2011) explain that the difference between the price of warrants and options in Hong Kong is based on the differ

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18

Jen, Chiou Ian, and 邱臙珍. "Warrants and Convertible Bonds." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/48072022819371114663.

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19

Chen, Chien-Chung, and 陳建忠. "Price Behaviors of Warrants." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/46799808611139646683.

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碩士<br>國立高雄第一科技大學<br>財務管理研究所<br>102<br>The thesis investigates the decreasing time value of warrants, estimated from the theta, implied in Black-Scholes model. By studying the change of time value on warrants, we find that the out of money warrant, firstly, the theta decries with the decreasing duration, since the so called ambiguity of the distribution of underlying stocks. Moreover, we providence the evidence that premium of warrants are distributed by the issuer, moneyness, duration to maturity, trading volume, and the market conditions.

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20

Yang, Hsueh-Lan, and 楊雪蘭. "The Effects of Multiple-Listed Warrants on the Underlying Stocks and Call Warrants." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/33050788447986201202.

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博士<br>國立臺北大學<br>企業管理學系<br>92<br>A number of arguments suggest the existence of options listing related effects on underlying stocks, which contains both price and volatility effects. But, the range of studies only involved single-listed option and did not deal with the effects of multiple-listed warrants on the same underlying stocks and the warrants that follow up issuing. This article examines the effects of multiple-listed warrants on the underlying stocks and call warrants from 1997 to 2003 in Taiwan call warrants market. The number of samples includes more than fifty percent

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21

Wu, Tsung-Chien, and 吳宗謙. "The impact of short sales ban on put warrants: Evidence from Taiwan warrants market." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/q2p5sv.

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碩士<br>國立中山大學<br>財務管理學系研究所<br>104<br>We will examine the relationship between short sales ban and put warrants from Taiwan’s warrant market. Our results show that put warrants trading volume and bid-ask spreads are higher when short sales are banned. We also run 2sls regressions to examine the endogeneity problem that arises. However, we find that warrant market can be substituted for underlying market with short sales ban, but this relationship does not hold strong in the short term when the market switches between banning and not banning short selling.

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22

Yuan, Chuang Chen, and 莊鎮遠. "Tauwan Call Warrants Market Research." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/82542889398746631604.

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碩士<br>國立臺北大學<br>企業管理學系<br>88<br>Recently,It has a tremendos change in the developing of new financial commodity.With the surge of the taiwan stock market,the warrant has become the hit among the popular investment instruments. This research tends to find the followings: 1、The first purpose of this research is to make investors understand the new financial commmodity and to increase the knowledge of investment and the way of hedge. 2、Local securities corp.s stand the dominant position in domestic

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23

LU, LUNG-HUA, and 路龍華. "Reexaming the volatility of warrants." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/78039300093207605409.

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碩士<br>淡江大學<br>財務金融學系碩士在職專班<br>92<br>To predict the volatility of stock market more precisely，various volatility-predicted models have been built-up. However, the results of those models are quite different. In this thesis, we apply four widely held predict models for testify the model capability of predicted accuracy; those are 「historical volatility model」、「implied volatility model」、「GARCH volatility model」、「GARCH-jump volatility model」 . We following three steps, first, calculate the estimate volubility values in those models, and then use the B-S pricing model to develop the prices of B-S m

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24

"Pricing models for Hong Kong warrants." Chinese University of Hong Kong, 1990. http://library.cuhk.edu.hk/record=b5886348.

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by Chan Man Kam, Chung Kwai Ying, Fung Po Hei.<br>Thesis (M.B.A.)--Chinese University of Hong Kong, 1990.<br>Bibliography: leaf 52.<br>ABSTRACT --- p.ii<br>TABLE OF CONTENTS --- p.iv<br>LIST OF TABLES --- p.vi<br>ACKNOWLEDGEMENT --- p.vii<br>Chapter<br>Chapter I. --- INTRODUCTION --- p.1<br>Justification of the research --- p.1<br>Research Objectives --- p.3<br>Chapter II. --- METHODOLOGY --- p.5<br>Data Source --- p.5<br>Models --- p.7<br>Model 1-Simplified Kassouf Model --- p.8<br>Model 2 -Shelton Model --- p.10<br>Model 3-Black-Scholes Model --- p.13<br>Testing Methods --- p.1

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25

Wang, Chun-Tung, and 王駿東. "The Pricing of Bond With Warrants." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/02857133714315610812.

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26

Lee, Yu-shao, and 李昱劭. "Pricing Analysis on American Put Warrants." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/58993129531897291611.

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碩士<br>國立雲林科技大學<br>財務金融系碩士班<br>100<br>This study compares pricing models of the SVSI (Stochastic Volatility and Stochastic Interest) and DVDI (Deterministic Volatility and Deterministic Interest). For numerical analysis, the result shows that the pricing error of SVSI is smaller than the error of DVDI. Next, we take the market data of American put warrant to estimate the parameters of models and analyze the pricing performance. Empirical results reveal that the performance of SVSI is better than DVDI. Hence the SVSI model takes an advantage of American put warrant to the DVDI. Furthermore, the

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27

沈幸宜. "The Pricing Error Effects of Warrants－A new prospects of Interaction Mechanism between Warrant and Stock Markets." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/63875807398137675611.

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碩士<br>銘傳大學<br>財務金融學系碩士班<br>91<br>This research focus on the devalue facts of warrants, and try to explain that in a new prospects of interaction mechanism between warrant and stock markets. In order to describe such mechanism, we have modified the partial difference function of Black and Scholes (1973). Finite difference method was used to simulate the new models, and compare the difference with traditional model. We found that the simulation results of nine samples from warrant market can support the prospects of interaction effects. New model can explain the pricing error f

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28

Kuan, Hsien-Ting, and 官顯庭. "Pricing theory of covered warrants and its application－An empirical test of Taiwan stock market related call warrants." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/21640009025165916373.

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29

Lee, Li-Hsuan, and 李俐萱. "Aggregated effectiveness analysis for warrant issuers on taking exchange traded funds as alternative hedging object of stock warrants." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/53492581738520018272.

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碩士<br>實踐大學<br>財務金融學系碩士班<br>103<br>Compare with stocks, this study is of the opinion that there are at least three advantages of adopting Exchange Traded Funds (ETF). First of all, popular ETF is nearly non-mobility problems. Therefore, it can reduce frictional costs substantially. Secondly, the price volatility of ETF is much lower than individual stocks’ due to the reason that specific stock market index of ETF is a stock portfolio, and in consequence the price-limit circumstance is rarely found. Lastly, the trading fee could be saved due to the taxation ratio of selling ETF is lower than sto

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30

Tzu-Ying, Chen. "A Study on the Performances of Warrants." 2004. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0009-0112200611361625.

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31

Lekkas, Georgia. "Option pricing in the presence of warrants." Thesis, 2002. http://spectrum.library.concordia.ca/1747/1/MQ72895.pdf.

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This study estimates option prices via a recombining binomial tree incorporating the effect of warrant dilution on the capital structure of the firm (Warrant Dilution Option-Pricing model--WDOP). The binomial lattice is constructed on the value of the firm under the assumption of constant volatility of the rate of return of the firm value. The mean percentage prediction error and the mean absolute value of the mean prediction error indicate that the predicted option prices deviate significantly from the observed option prices. The weak predicting performance of the WDOP model doesn't seem to

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32

Yen-May, Hung, and 洪燕媺. "The study on legal problems of warrants." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/90024356437780039091.

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33

Tasi, Li-Kuang, and 蔡立光. "Pricing and Hedging of Taiwan Covered Warrants." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/44857111468522611816.

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34

Pan, Chun-Hao, and 潘俊豪. "Valuation of Reset Warrants under Liquidity Costs." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/69693376785908490199.

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碩士<br>東吳大學<br>商用數學系<br>93<br>We value moving-average reset warrant under liquidity costs by using simulation approach. Some numerical analyses concerning the changes on the reset period; reset frequencies; reset ratio; and number of days in the moving average, which affect the values of warrants and reset probabilities, will be explored. We also set up a liquidity cost model which can determine the optimal reset ratio and thus minimize the liquidity cost of warrant. Finally, the delta jump inherent in the reset warrant was discussed in this study.

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35

何怡滿. "Reset Warrants: Properties, Valuation and Empirical Tests." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/64868173904227737040.

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博士<br>國立成功大學<br>企業管理學系<br>89<br>Path-dependent options have become increasingly popular in recent years. A path-dependent option has a payoff directly related to movements in the price of the underlying asset during the option’s life. Reset options are one type of path-dependent options. If the reset option satisfies some reset conditions during the reset period, its strike price may be reset to a lower strike in the case of a call or a higher strike in the case of a put. In Taiwan, the first American-style reset warrant was issued by Grand Cathay Securities Co., Ltd. on 22 October

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36

Yiin, Cheng Shyang, and 鄭翔尹. "Pricing and hedging of the basket warrants." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/56322770252026780216.

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Wu, Szu-hui, and 吳思慧. "The price difference between options and warrants." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/77577423177072528491.

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碩士<br>國立高雄第一科技大學<br>金融營運所<br>93<br>The purpose of this paper is to investigate if there still exist dilution effect when we price stock warrants using stock price instead of company value as underlying asset. We used binomial tree model to price securities’ value and assumed constant return to scale. We found the stock price would not change after the company issued warrants if we assumed constant return to scale. But because the warrants bear most of the risk, the stock price after issuing warrants is less volatile than before. As a result, the warrant price is lower than the stock option pri

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38

Tzu-Ying, Chen, and 陳慈穎. "A Study on the Performances of Warrants." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/96280041593360625036.

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碩士<br>元智大學<br>財務金融研究所<br>92<br>A Study on the Performances of Warrants Student：Tzu-Ying Chen Advisor：Wen-Chung Guo ＡBSTRACT This paper investigates 42 warrants in U.K .The results indicate that how to choice the investment entering timing and find the explanatory factors of warrants would affect the investment performance. In this paper , we find that the middle entering point of the warrants exercise period will get the best investment performances to the investors. On the other hand , we also find that amount outstanding , parity, premium/d

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39

Yeh, Wen-Chiun, and 葉文鈞. "The Empirical Study of Option Pricing with Securities Transaction Tax-The Case of Call Warrant Writers Hedging by Warrants." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/43072265990430594748.

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碩士<br>國立高雄第一科技大學<br>財務管理所<br>90<br>ABSTRACT If the call warrant writers in Taiwan hedging by the same stock of warrants of another call warrant writers, we tried to construction an option pricing model with securities transaction tax, by Hayne E. Leland presented in 1985. We showed that the securities transaction tax of call warrant and the call warrants price is the same change. At the same time, the empirical study and the revised model with securities transaction tax have same conclusion.

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40

"A test of the Black-Scholes Psuedo American Option Pricing Formula on Hong Kong warrants: an exploration." Chinese University of Hong Kong, 1990. http://library.cuhk.edu.hk/record=b5886390.

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by Chung Shek-wah Eric, Mok Tze-shan Teresa.<br>Thesis (M.B.A.)--Chinese University of Hong Kong, 1990.<br>Bibliography: leaves 50-52.<br>ACKNOWLEDGEMENT --- p.ii<br>ABSTRACT --- p.iii<br>TABLE OF CONTENTS --- p.iv<br>LIST OF TABLES --- p.vi<br>Chapter<br>Chapter I. --- INTRODUCTION --- p.1<br>Chapter II. --- WARRANT PRELIMINARIES --- p.3<br>Warrants 一一 Rights to Buy --- p.3<br>History of Warrants in Hong Kong --- p.4<br>Chapter III. --- LITERATURE REVIEW --- p.7<br>Various Tests of OFF --- p.7<br>Test of Robustness --- p.8<br>Test of Unbiasedness --- p.8<br>Test of Hedge Return Be

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41

Fang, His-Yung, and 方錫勇. "The Investment Decision of the Implied Volatility Index of Warrants - A Case Study of Call Warrants of Taiwan’s Electric Stocks." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/9ubz99.

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碩士<br>銘傳大學<br>資訊管理學系碩士在職專班<br>95<br>This paper mainly studies the comparison based on the implied and related historical volatility of call warrants, which is according to the market’s implied volatility to be the reference of investment. In addition, it aims at whether it is increasing the probability of earning profit by choosing the lower implied volatility of the multiple-issuing warrants on same target stock. The subjects of this research are the data of call warrants which were issued in Taiwan from November 2005 to May 2007. It is trying to figure out the trading strategies to increas

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42

HSIEH, YI-TA, and 謝易達. "How Warrants Issuance Conditions Influence The Relationship Between Warrants Price And Underlying Stock Price-The Case For Taiwan 50 Index." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/jy22z6.

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碩士<br>僑光科技大學<br>財務金融研究所<br>103<br>This research is set out to investigate the impacts imposed by the trading of call warrants on the volatility of underlying stocks after the issuance of the former. The measurable indicators here are the warrant returns at closing price and the underlying stock returns at closing price, while the trading materials of Taiwan 50 and the call warrants of Taiwan 50 during November 2013 and January 2015 are used as the samples. According to the results of the positive analysis performed via the tracing data linear regression model, together with the warrant returns

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43

Shum, Shan-Ho, and 岑山河. "Expiration Effects of Derivative Equity Warrants in Taiwan." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/984f5b.

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碩士<br>銘傳大學<br>財務金融學系碩士在職專班<br>95<br>Expiration Effects of Derivative Equity Warrants in Taiwan Student: Shan-Ho Shum Advisor: Dr. Yang-Zhen Lu Dr. Chung-Jung Lee Abstract By using the event-study analysis and GARCH(1,1) model to demonstrate the influence of the derivative equity warrants expiration on the return of the underlying stocks. Additionally, according to the research by Rubinstein(1985), the assort of call option in CBOE. We use GARCH(1,1) model to display the influence of the warrants at differen

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44

Lee, Hsin-Chan, and 李欣展. "Pricing Factors Analysis of Hong Kong Covered Warrants." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/65679654229991314759.

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45

Chen, Jian-Hong, and 陳建宏. "Semi-parametric Pricing of Derivative Warrants in Taiwan." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/82639126477130360988.

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碩士<br>銘傳大學<br>金融研究所<br>89<br>This thesis applies three types of pricing models (Black & Scholes model, the Black & Scholes model with linear regression correction and the semi-parametric pricing model) and two types of volatility estimation (historical and equal weighted weight-average implied volatility) to evaluate derivative warrants of Taiwan and investigates the factors which influence the degree of price deviation. Semi-parametric pricing model that couple the Black & Scholes model with a nonlinear correction function are shown to better capture contract features of warrant market in Tai

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Lee, Chien Yi, and 李倩儀. "The Valuation of reset warrants-Application of AMM." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/50211290160988803898.

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Chen, Cung-Ting, and 陳俊廷. "Pricing Warrants with Credit Risk─Trinomial Tree Model." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/95103389998131469336.

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碩士<br>世新大學<br>財務金融學研究所(含碩專班)<br>93<br>In the realistic investment environment, diversification of the financial goods and the complicating of economic system, often make the risk that investors face greatly increase, among them the most direct one is the credit risks of warrant issuer. There is no adequate margin settlement mechanism for prevailing covered warrant in Taiwan, and thus the credit risks of warrant issuer must be considered when investors evaluate the price of covered warrant. This thesis applies Klein’s (1996) vulnerable option valuation model and using the trinomial tree mod

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Su, Fang-Chi, and 蘇芳姬. "Pricing Taiwan Covered Warrants Subject to Credit Risk." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/63752799594089320071.

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碩士<br>國立成功大學<br>國際企業研究所碩博士班<br>90<br>This paper value the Taiwan Covered Warrants using the Binominal European options pricing model. There are two kinds of credit risk, one is the underlying stock risk, the other is the default risk of issuing financial instruments. We always ignore the last, especially in the downturn financial markets. So, it's very important to measure the credit spread in the warrants market. We investigate the close market covered warrants price from Apr. 1999 to Sep. 2001, include 13 issuing financial instruments, 76 simple covered warrants and 20255 transactions da

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Liu, Bihyiin, and 劉弼尹. "The study of hedging performance for issuing warrants." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/86510867784869597488.

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碩士<br>國立臺灣大學<br>財務金融學系研究所<br>86<br>Since warrants were allowed listing in the security market by the SEC, many financial institutions, especially security companies, began to engage in preparing the warrants issuing and listing affairs. Of course, before deciding issuing warrants, the financial institutions should construct a risk management system including dynamic hedging strategy. A superior risk management system can assure the profits of issuing warrants. The most familiar dynamic hedg

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Hsun, Shih-Hsiang, and 徐士翔. "Reset Warrants Pricing, Reset Terms, and Liquidity Cost." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/82510367945246308997.

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碩士<br>國立中央大學<br>財務管理研究所<br>88<br>Our paper evaluates the American-style moving-average reset call warrants using Monte Carlo simulation method. Then, we investigate the affections on the prices of the American-style moving-average reset call warrants by changing the values of the reset terms including reset period, reset ratio, reset frequency, and days of moving-average daily closing price. In the end, our paper goes on to calculate the optimal reset ratio of the reset call warrants by imposing liquidity cost function for out-of-money options.We extend the method of Grant, Vora, and Weeks(199

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