𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Is warrant really a derivative? Evidence from the Chinese warrant market

✍ Scribed by Chang, Eric C.; Luo, Xingguo; Shi, Lei; Zhang, Jin E.

Book ID
123387508
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
397 KB
Volume
16
Category
Article
ISSN
1386-4181

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Option bid-ask spread and scalping risk:
Option bid-ask spread and scalping risk: Evidence from a covered warrants market
✍ Giovanni Petrella πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 220 KB

This study develops and empirically tests a simple market microstructure model to capture the main determinants of option bid-ask spread. The model is based on option market making costs (initial hedging, rebalancing, and order processing costs), and incorporates a reservation bid-ask spread that op