A contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processes

 

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dc.contributor.advisor Botha, Derek en_ZA
dc.contributor.author Botha, Russel John en_ZA
dc.date.accessioned 2016-02-22T07:16:55Z
dc.date.available 2016-02-22T07:16:55Z
dc.date.issued 1998 en_ZA
dc.identifier.citation Botha, R. 1998. A contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processes. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/17171
dc.description Bibliography: pages 190-209. en_ZA
dc.description.abstract This research proposed to identify the most accurate method of pricing rights using option pricing models, including the Black Scholes model, the Cox constant elasticity of variance model and the Merton jump diffusion model, and to determine the set of input parameters that lead to the most optimal results. The empirical results indicated that on average all of the models are able to estimate the actual rights trading prices relatively well. Some models performed better than others did and these findings were consistent with the original reasonings. The market was shown to not account for the effect of dilution. The best model prices were obtained when calculating volatility over a one year historical period that included the actual rights trading period. The hypothesis regarding trading volume showed that there is a significant impact of trading volume on the estimation of accurate option prices. The filter rule of rejecting rights prices below 10 cents and 100 cents also improved the results thus showing a bias for lower priced rights to be incorrectly valued and possibly some inefficiency in this sector of the market. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Pricing Models en_ZA
dc.title A contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processes en_ZA
dc.type Thesis / Dissertation en_ZA
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Commerce en_ZA
dc.publisher.department College of Accounting en_ZA
dc.type.qualificationlevel Masters en_ZA
dc.type.qualificationname MCom en_ZA
uct.type.filetype Text
uct.type.filetype Image


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