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

DOI10.1080/14697688.2012.740570zbMATH Open1281.91199OpenAlexW2073485985MaRDI QIDQ5397458FDOQ5397458

Authors 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

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)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• On the pricing of contingent claims under constraints
• The pricing of options and corporate liabilities

Cited in

(2)

• The impact of warrants introduction: sign effect or magnitude effect?
• 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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