Derivative Pricing 60 Years Before Black Scholes : Evidence From The Johannesburg Stock Exchange  

Oleh:

Moore, Lyndon ; Juh, Steve

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 6 (Des. 2006), page 3069-3098.
Topik: PRICING; studies; warrants; stock exchanges; derivatives; stock prices
Fulltext: p 3069.pdf (383.02KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We obtain daily data for warrants traded on the johannesburg stock exchange between 1909 and 1922 and for a broker's call option quotes on stocks from 1908 to 1911. We use this new data set to test how close derivative prices are to black scholes (1973) prices and to compute profits for investors using a simple trading rule for call options. We examine whether investors exercised warrants optimally and how they reacted to extentions of the warrants' durations. We show that long before the development of the formal theory, investors had an intuitive grasp of the determinants of derivative pricing.

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