| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 961407 | Journal of Financial Markets | 2013 | 29 Pages |
Abstract
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.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Eric C. Chang, Xingguo Luo, Lei Shi, Jin E. Zhang,