Chang, Eric C.; Luo, Xingguo; Shi, Lei; Zhang, Jin E. - In: Journal of Financial Markets 16 (2013) 1, pp. 165-193
This paper 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...