Overpriced Derivatives in the EU-Market - Statistical analysis on single stock options, warrants and the underlying stocks

by Sinani, Ayrton
State: New
$141.53
VAT included - FREE Shipping
Sinani, Ayrton Overpriced Derivatives in the EU-Market - Statistical analysis on single stock options, warrants and the underlying stocks
Sinani, Ayrton - Overpriced Derivatives in the EU-Market - Statistical analysis on single stock options, warrants and the underlying stocks

Do you like this product? Spread the word!

$141.53 incl. VAT
Only 1 items available Only 1 items available
Delivery: between Wednesday, August 11, 2021 and Friday, August 13, 2021
Sales & Shipping: Dodax

Check other buying options

1 Offer for $141.53

Sold by Dodax EU

$141.53 incl. VAT
State: New
Free Shipping
Delivery: between Wednesday, August 11, 2021 and Friday, August 13, 2021
View other buying options

Description

The market provides investors with plain vanilla products like options which can be used as an insurance from losses. However, in the OTC market products like warrants can be traded which have very similar features as options. Therefore we would expect that (by no arbitrage arguments) the two products would be worth the same. In the literature though, several papers can be found which confirm that in the Asian market warrants are priced higher than options. We have observed the EU-market for single stock options and warrants. Price differences between the single stock warrants and the corresponding options (i.e. options on the same date with the same underlying, strike and time to maturity as the warrant) in the German market during the time period 2012-2015 was observed. A statistical analysis was performed in order to verify the pricing efficiency of the prices.

Contributors

Author:
Sinani, Ayrton

Further information

Biography Artist:
Sinani, Ayrton
Ayrton Sinani has finished his undergraduate studies of Mathematics at the University of Ljubljana. He moved to Germany in order to pursue a graduate degree in Mathematical Finance & Actuarial Science at the Technical University of Munich. Currently he is working as a Quantitative researcher at Credit Suisse in London.
Language:
English
Number of Pages:
76
Media Type:
Softcover
Publisher:
AV Akademikerverlag

Master Data

Product Type:
Paperback book
Package Dimensions:
0.22 x 0.15 x 0.005 m;
GTIN:
09786202216302
DUIN:
52ENDPP3GGJ
$141.53
We use cookies on our website to make our services more efficient and more user-friendly. Therefore please select "Accept cookies"! Please read our Privacy Policy for further information.