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PRICING NIKKEI PUT WARRANTS: SOME EMPIRICAL EVIDENCE
Author(s) -
Chen K. C.,
Sears R. Stephen,
Shahrokhi Manuchehr
Publication year - 1992
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1992.tb00802.x
Subject(s) - issuer , financial economics , hedge , economics , business , empirical evidence , security market , actuarial science , finance , ecology , philosophy , epistemology , biology
The newly created Nikkei put warrants represent a recent innovation in security development. These privately issued puts enable investors to hedge or speculate on price movements in the Japanese market. Understanding the pricing behavior of these new securities provides U.S. investors and issuers with valuable information to assess potential benefits and costs. In this research two alternative pricing models are used to explain the observed prices of several privately issued Nikkei put warrants. While results from the two models indicate some pricing biases, pricing errors are very small overall.