The Analysis of Warrant Market in Shanghai and Shenzhen
This paper analyzes the deviation between the theoretical price and the market prices of warrants in Shanghai and Shenzhen stock markets. Its found that the deviation is not typically caused by input variables in the pricing formula. And the correlation coefficient between the returns of the warrant and the underlying is inconsistent with theoretical value,even in conflict with the latter. The main reason why this deviation exists is that in current trading system,market limitations (friction) depresses arbitrage transactions,which makes the market price of warrants deviate from its long-term equilibrium.
European warrants Price deviation
王安兴 丁峰
上海国定路777 号 上海财经大学金融学院 邮编：200433
国际会议
成都
英文
2007-07-09（万方平台首次上网日期，不代表论文的发表时间）