Warrants,
Warrants, !Dr.PD
warrants? warrants securities .;; warrants call options!
European: warrant American: warrant Bermudan: warrant
2European:Warrant ALPHA 1 10 2016.
American:Warrant ALPHA 1 10 2016.
Bermudan:Warrant ALPHA 1 10 2014 10 2015 10 2016.3 ; warrants ..
ALPHA 5 5% 1 warrant 1000 1 . warrants private equity . warrants
warrants, Hong Kong, (Over The Counter OTC).4 : warrant
attached warrants
: . warrants .5Warrants vs OptionsWarrantsOptions / 6 Warrants
Warrant Underlying Stock, S warrant? - Strike Price, X ; -
Expiration, T ;- Multiplier, M warrant?Warrant ALPHA (S), (M) 1 (X)
10 2016 (T).
...!7 : warrant S .
warrant
D
V
() R8 : warrant;;: . , , warrant9 1: (S)Warrant ALPHA (S), (M) 1
(X) 10 2016 (T).
warrant ( ALPHA ); ALPHA (S) 1.1 ; ALPHA (S) 1.4 ;
warrant in the money warrant out of the money warrant at the
money ( )
210 2: () warrants ( ALPHA );
Warrant ALPHA (S), (M) 1 (X) 10 2016 (T).Warrant ALPHA (S), (M)
1.2 (X) 10 2016 (T).
111 3: () warrants ( ALPHA );
Warrant ALPHA (S), (M) 1 (X) 10 2016 (T).Warrant ALPHA (S), (M)
1.2 (X) 10 2015 (T).
112 4: (D) Warrant ALPHA (S), (M) 1 (X) 10 2016 (T).
warrant ( ALPHA ); ALPHA 0% ALPHA 4%
113 5: (V): (volatility) ;: : , 16% 1%
14 5: (V)Warrant ALPHA (S), (M) 1 (X) 10 2016 (T).
warrant ( ALPHA );
ALPHA V=50% ALPHA V= 70%
215 6: () (R)Warrant ALPHA (S), (M) 1 (X) 10 2016 (T).
warrant ( ALPHA );
R=1% R=3%
216... (S) warrant warrant (X) warrant warrant (T) warrant (D)
warrant (V) warrant warrant
17 1Warrant ALPHA (S), (M) 1 (X) 10 2016 (T).
warrant. (, BBG) : warrant ;18 2
warrant options . (?) implied volatility. 19 warrant Warrant
ALPHA (S), (M) 1 (X) 10 2016 (T).
20Warrants . Warrant ALPHA (S), (M) 1 (X) 10 2016 (T). ALPHA 0,8
. warrant ; R,D,V warrant. R=0.75%, D=0%, V=60% warrant 0,28 ( 35%
) Black & Scholes warrant ALPHA; (!) warrant. To warrant
warrant spot. warrant 10 cents ALPHA; 65%21Delta warrants time
value warrant / warrant delta. delta warrant warrant ( , warrant
)
22Delta warrants time value. Warrant ALPHA (S), (M) 1 (X) 10
2016 (T). ALPHA 0.8 R=0.75%, D=0%, V=60% , delta 65% warrant 0.28.
ALPHA 0.80.85 warrant 0,28 0,3125 ALPHA 1.35 delta 80%, warrant
0,69 ALPHA 1.351.40 warrant 0,69 0,73 ALPHA 0.3 delta 30%, warrant
0,04 ALPHA 0.30.35 warrant 0,04 0,045Time Value warrant 23Warrants
warrant . ;;; ! Vega. Vega warrant 1% .: Warrant ALPHA (S), (M) 1
(X) 10 2016 (T), ALPHA 0.8 , 60% Vega 1 cent. 60% 61% warrant 1
cent 0.28 0.29. bid/offer . Vega warrant . Vega . Vega warrant.24
Warrant ALPHA (S), (M) 1 (X) 10 2016 (T), ALPHA 0.8
3 .
25Bid VolBid OfferOffer
Vol45%0,200,3675%50%0,230,3370%55%0,260,3165% warrants Warrant
ALPHA (S), (M) 1 (X) 10 2016 (T), ALPHA 0.8 delta warrant 65% 28
cents. ALPHA 5 cents warrant 3.25 cents . : 5cents 6.25%A warrant:
3.25cents 17.85%Warrant ALPHA (S), (M) 1 (X) 10 2016 (T), ALPHA 0.6
delta warrant 54% 17 cents. ALPHA 5 cents warrant 2.5 cents :
5cents 8.33%A warrant: 2.5cents 14.75%26 ; warrant !! warrant .
...: Warrant ALPHA (S), (M) 1 (X) , ALPHA 0.2 () . ( ) warrant27
warrant warrant . warrant. warrant - Warrant ALPHA (S), (M) 1 (X)
10 2016 (T), ALPHA 0.8 , 23cents ; (implied volatility) 50%
28Warrants arbitrage warrant ; ; warrants . . warrant W >
S-X( ), 1 ALPHA 1.2 warrant 20cents.;; ;; Arbitrage Strategy Cash
Flow S < X S > X warrant - W warrant0S-X + S - S- S - X + X+
X -W + S - X > 0X - S > 0 S - X + X - S= 029Warrants
arbitrage () warrant ALPHA 1 1,2 . warrant in the money. ; 0.18 ;
;
arbitrage??30 Arbitrage Strategy Cash Flow Alpha < 1, ,
ALPHA=0.8 Alpha > 1, , Alpha=1.3 warrant - 0,18
warrant01.3-1=0.3 + 1,2 - 0.8- 1.3 1 + 1+ 1 -0,18 + 1,2 - 1 =0,021
0.8 = 0.2 0.3 + 1 1.3= 0 warrants spot ; , , ( ) spot , ,
non-arbitrage 31THE END32
