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

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dc.contributor.advisorBotha, Dereken_ZA
dc.contributor.authorBotha, Russel Johnen_ZA
dc.date.accessioned2016-02-22T07:16:55Z
dc.date.available2016-02-22T07:16:55Z
dc.date.issued1998en_ZA
dc.descriptionBibliography: pages 190-209.en_ZA
dc.description.abstractThis 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.identifier.apacitationBotha, R. J. (1998). <i>A contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processes</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,College of Accounting. Retrieved from http://hdl.handle.net/11427/17171en_ZA
dc.identifier.chicagocitationBotha, Russel John. <i>"A contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processes."</i> Thesis., University of Cape Town ,Faculty of Commerce ,College of Accounting, 1998. http://hdl.handle.net/11427/17171en_ZA
dc.identifier.citationBotha, R. 1998. A contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processes. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Botha, Russel John AB - 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. DA - 1998 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 1998 T1 - A contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processes TI - A contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processes UR - http://hdl.handle.net/11427/17171 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/17171
dc.identifier.vancouvercitationBotha RJ. A contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processes. [Thesis]. University of Cape Town ,Faculty of Commerce ,College of Accounting, 1998 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/17171en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentCollege of Accountingen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherPricing Modelsen_ZA
dc.titleA contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processesen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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