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A contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processes
Bibliography: pages 190-209.
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| Format: | Thesis |
| Language: | English |
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College of Accounting
2016
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| _version_ | 1867613156098965504 |
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| access_status_str | Open Access |
| author | Botha, Russel John |
| author2 | Botha, Derek |
| author_browse | Botha, Derek Botha, Russel John |
| author_facet | Botha, Derek Botha, Russel John |
| author_sort | Botha, Russel John |
| collection | Thesis |
| description | Bibliography: pages 190-209. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/17171 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:31:38.662Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2016 |
| publishDateRange | 2016 |
| publishDateSort | 2016 |
| publisher | College of Accounting |
| publisherStr | College of Accounting |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/17171 A contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processes Botha, Russel John Botha, Derek Pricing Models Bibliography: pages 190-209. 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. 2016-02-22T07:16:55Z 2016-02-22T07:16:55Z 1998 Master Thesis Masters MCom http://hdl.handle.net/11427/17171 eng application/pdf College of Accounting Faculty of Commerce University of Cape Town |
| spellingShingle | Pricing Models Botha, Russel John A contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processes |
| thesis_degree_str | Master's |
| title | A contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processes |
| title_full | A contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processes |
| title_fullStr | A contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processes |
| title_full_unstemmed | A contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processes |
| title_short | A contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processes |
| title_sort | contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processes |
| topic | Pricing Models |
| url | http://hdl.handle.net/11427/17171 |
| work_keys_str_mv | AT botharusseljohn acontingentclaimsanalysisofthepricingofrightsisssueswithdiscontinuousdiffusionprocesses AT botharusseljohn contingentclaimsanalysisofthepricingofrightsisssueswithdiscontinuousdiffusionprocesses |