Hrvatsko društvo ekonomista

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September 2011. ::: Vol.62 No.07-08

Branka Marasović
Boško Šego

MODEL FOR WARRANTS AND TURBO CERTIFICATES PRICING WITH UNDERLYING ASSETS FROM THE CROATIAN CAPITAL MARKET Izvorni znanstveni članak Despite the fact that derivatives are not traded on the Zagreb Stock Exchange, it is important to note that warrants and turbo certificates, which have for underlying assets Croatian stocks and Croatian stock market index CROBEX, are quoted on the European capital markets. The question is how to value these securities? For efficient pricing of derivatives, financial experts must have detailed knowledge of the properties of derivatives, underlying assets and the models and the numerical methods for their pricing. The warrants and turbo-certificates which are quoted on the European stock exchanges with regard to pricing have properties of options. So far, more than sixty models for pricing different types of options have been developed and it often happens that financial experts apply inappropriate mathematical tools for pricing options. Therefore, the aim of this paper is to present a methodology which financial experts have to apply for option pricing and the application of the developed model, based on the presented methodology, for pricing warrants and turbo certificates which have underlying assets from the Croatian capital market. warrants; turbo certificates; pricing; Monte Carlo simulation Puni tekst (Hrvatski) Str. 345 - 382 (pdf, 703.74 KB)

MODEL FOR WARRANTS AND TURBO CERTIFICATES PRICING WITH UNDERLYING ASSETS FROM THE CROATIAN CAPITAL MARKET

Izvorni znanstveni članak

Despite the fact that derivatives are not traded on the Zagreb Stock Exchange, it is important to note that warrants and turbo certificates, which have for underlying assets Croatian stocks and Croatian stock market index CROBEX, are quoted on the European capital markets. The question is how to value these securities? For efficient pricing of derivatives, financial experts must have detailed knowledge of the properties of derivatives, underlying assets and the models and the numerical methods for their pricing. The warrants and turbo-certificates which are quoted on the European stock exchanges with regard to pricing have properties of options. So far, more than sixty models for pricing different types of options have been developed and it often happens that financial experts apply inappropriate mathematical tools for pricing options. Therefore, the aim of this paper is to present a methodology which financial experts have to apply for option pricing and the application of the developed model, based on the presented methodology, for pricing warrants and turbo certificates which have underlying assets from the Croatian capital market.

warrants; turbo certificates; pricing; Monte Carlo simulation

Puni tekst (Hrvatski) Str. 345 - 382 (pdf, 703.74 KB)