کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
961407 | 929848 | 2013 | 29 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Is warrant really a derivative? Evidence from the Chinese warrant market
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
⺠We study the Chinese warrant market. ⺠The market prices of warrants are much higher than the Black-Scholes prices. ⺠A warrant and its underlying prices do not support one-dimensional diffusion model. ⺠The cumulated delta-hedged gains for almost all expired warrants are negative. ⺠The negative gains are driven by volatility risk, trading values and market risk.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 16, Issue 1, February 2013, Pages 165-193
Journal: Journal of Financial Markets - Volume 16, Issue 1, February 2013, Pages 165-193
نویسندگان
Eric C. Chang, Xingguo Luo, Lei Shi, Jin E. Zhang,