RESEARCH ON THE SPILLOVER EFFECT OF TRANSACTION COSTS AND SPECULATIVE CAPITAL ON WARRANTS’PRICE

摘要：

The factual price of warrants largely outweighs the theoretical price implied by Black-Scholes model, and this spillover effects could not be explained by the implied volatility and the fluctuation of interest rate. This paper proposes to take the speculative capital and transaction cost to illustrate the spillover effect of warrants, and the authors propose an approximate algorithm based on Monte-Carlo method to price the warrants. Through theoretical and empirical study, the authors find the difference of this kind of spillover effect between the call warrant and the put warrant.

关键词： Transaction Cost Arbitrage Obstacle Speculation Spillover Effect Monte-Carlo

作者: Jie Ma Wuxian Zhang

作者单位: School of Economics and Management, Beihang University, Beijing 100083, China

会议类型: 国际会议

会议名称: The Ninth International Conference on Industrial Management(第九届工业管理国际会议 ICIM2008)

会议地点: 日本大阪

会议语种:英文

页码: 961-966

在线出版日期: 2008-09-16（万方平台首次上网日期，不代表论文的发表时间）