### Abstract

Original language | English |
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Publisher | Unknown Publisher |

Number of pages | 26 |

Volume | 1994-110 |

Publication status | Published - 1994 |

### Publication series

Name | CentER Discussion Paper |
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Volume | 1994-110 |

### Fingerprint

### Keywords

- Pricing
- Financial Markets
- finance

### Cite this

*An empirical investigation of the factors that determine the pricing of Dutch index warrants*. (CentER Discussion Paper; Vol. 1994-110). Unknown Publisher.

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**An empirical investigation of the factors that determine the pricing of Dutch index warrants.** / de Roon, F.A.; Veld, C.H.

Research output: Working paper › Discussion paper › Other research output

TY - UNPB

T1 - An empirical investigation of the factors that determine the pricing of Dutch index warrants

AU - de Roon, F.A.

AU - Veld, C.H.

N1 - Pagination: 26

PY - 1994

Y1 - 1994

N2 - This paper investigates the pricing of Dutch index warrants. It is found that when using the historical standard deviation as an estimate for the volatility, the Black and Scholes model underprices all put warrants and call warrants on the FT-SE 100 and the CAC 40, while it overprices the warrants on the DAX. When the implied volatility of the previous day is used the model prices the index warrants fairly well. When the historical standard deviation is used the mispricing of the call and the put warrants depends in a strong way on the mispricing of the previous trading day, and on the moneyness (in a nonlinear way), the volatility and the dividend yield. When the implied standard deviation of the previous trading day is used the mispricing of the call warrants is only related to the moneyness and to the estimated volatility, while the mispricing of put index warrants depends in a strong way on the moneyness, the volatility, the dividend yield and the remaining time to maturity.

AB - This paper investigates the pricing of Dutch index warrants. It is found that when using the historical standard deviation as an estimate for the volatility, the Black and Scholes model underprices all put warrants and call warrants on the FT-SE 100 and the CAC 40, while it overprices the warrants on the DAX. When the implied volatility of the previous day is used the model prices the index warrants fairly well. When the historical standard deviation is used the mispricing of the call and the put warrants depends in a strong way on the mispricing of the previous trading day, and on the moneyness (in a nonlinear way), the volatility and the dividend yield. When the implied standard deviation of the previous trading day is used the mispricing of the call warrants is only related to the moneyness and to the estimated volatility, while the mispricing of put index warrants depends in a strong way on the moneyness, the volatility, the dividend yield and the remaining time to maturity.

KW - Pricing

KW - Financial Markets

KW - finance

M3 - Discussion paper

VL - 1994-110

T3 - CentER Discussion Paper

BT - An empirical investigation of the factors that determine the pricing of Dutch index warrants

PB - Unknown Publisher

ER -