Are Chinese warrants derivatives? Evidence from connections to their underlying stocks

DOI10.1080/14697688.2012.740570zbMATH Open1281.91199OpenAlexW2073485985MaRDI QIDQ5397458FDOQ5397458

Ke Tang, Changyun Wang

Publication date: 20 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.740570

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zbMATH Keywords

arbitrage pricing theorywarrantsChinese marketresale-option bubble theoryshort-sales prohibition

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

Cites Work

• The pricing of options and corporate liabilities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• On the pricing of contingent claims under constraints

Cited In (1)

• The impacts of warrants issuance on the price and trading volumes of the underlying stock: the call warrants case of Taiwan stock exchange

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