File Download
There are no files associated with this item.
Supplementary
-
Citations:
- Appears in Collections:
Conference Paper: Is Warrant Really a Derivative? Evidence from the Chinese Warrant Market
| Title | Is Warrant Really a Derivative? Evidence from the Chinese Warrant Market |
|---|---|
| Authors | |
| Issue Date | 2011 |
| Citation | HKU-HKUST-Stanford Conference in Quantitative Finance, Hong Kong University of Science and Technology and Hong Kong University, Hong Kong, 9-10 December 2011 How to Cite? |
| Abstract | This paper first studies the Chinese warrant market that has been developing since August 2005. Empirical evidence shows that the market prices of warrants are much higher systematically than the Black-Scholes prices with historical volatility. The prices of a warrant and its underlying asset do not support the monotonicity, perfect correlation and option redundancy properties. The cumulated delta-hedged gains for almost all
expired warrants are negative. The negative gains are mainly driven by the volatility risk, and the trading values of the warrants for puts and the market risk for calls. The investors are trading some other risks in addition to the underlying risk. This is a joint work with Eric C. Chang and Lei Shi. |
| Persistent Identifier | http://hdl.handle.net/10722/145625 |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Zhang, J | en_US |
| dc.contributor.author | Chang, EC | en_US |
| dc.contributor.author | Shi, L | en_US |
| dc.date.accessioned | 2012-02-28T01:59:00Z | - |
| dc.date.available | 2012-02-28T01:59:00Z | - |
| dc.date.issued | 2011 | en_US |
| dc.identifier.citation | HKU-HKUST-Stanford Conference in Quantitative Finance, Hong Kong University of Science and Technology and Hong Kong University, Hong Kong, 9-10 December 2011 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10722/145625 | - |
| dc.description.abstract | This paper first studies the Chinese warrant market that has been developing since August 2005. Empirical evidence shows that the market prices of warrants are much higher systematically than the Black-Scholes prices with historical volatility. The prices of a warrant and its underlying asset do not support the monotonicity, perfect correlation and option redundancy properties. The cumulated delta-hedged gains for almost all expired warrants are negative. The negative gains are mainly driven by the volatility risk, and the trading values of the warrants for puts and the market risk for calls. The investors are trading some other risks in addition to the underlying risk. This is a joint work with Eric C. Chang and Lei Shi. | - |
| dc.language | eng | en_US |
| dc.relation.ispartof | HKU-HKUST-Stanford Conference in Quantitative Finance | en_US |
| dc.title | Is Warrant Really a Derivative? Evidence from the Chinese Warrant Market | en_US |
| dc.type | Conference_Paper | en_US |
| dc.identifier.email | Zhang, J: jinzhang@hku.hk | en_US |
| dc.identifier.email | Chang, EC: ecchang@business.hku.hk | en_US |
| dc.identifier.authority | Zhang, J=rp01125 | en_US |
| dc.identifier.authority | Chang, EC=rp01050 | en_US |
| dc.identifier.hkuros | 198766 | en_US |
| dc.publisher.place | Hong Kong | - |
| dc.description.other | HKU-HKUST-Stanford Conference in Quantitative Finance, Hong Kong University of Science and Technology and Hong Kong University, Hong Kong, 9-10 December 2011 | - |