An empirical analysis of warrant prices versus long-term call option prices

Article Abstract:

An empirical investigation on the pricing behavior of warrants showed that Dutch warrants and long-term call options were significantly overvalued. This overvaluation is shown to persist over the entire duration of the research. The empirical test on the differences in the implied standard deviation measured for both warrants and long-term call options was conducted on the premise that both are similar contracts in terms of their underlying value.

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The International Transmission of Arbitrage Information Across Futures Markets

Article Abstract:

A study is presented on international arbitrage information transmission among futures markets. Topics discussed include mispricing across markets, apparent profit analysis, and strategic use of transmitted information.

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The determinants of implied volatility: A test using LIFFE option prices

Article Abstract:

LIFFE option prices were used to test determinants of implied volatility.

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