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Trading Strategies for Warrants

Author

Listed:
  • Hana Florianová

    (Masaryk University)

Abstract

In this paper we examine key strategies for trading warrants which are commonly used by traders on European Stock Exchanges. When trading warrants investor can find himself in three situations - cash extraction, hedging or speculation. For each of them different trading strategy is appropriate. Every strategy has different advantages and disadvantages. Some of them are risky, others are expensive in transaction costs and others need long period of time to perform. For the purpose of this paper we test the convenience of strategies on historical data of real warrants traded on Frankfurt Stock Exchange. We evaluate performance of each strategy and recommend their use for everyday trading.

Suggested Citation

  • Hana Florianová, 2016. "Trading Strategies for Warrants," Proceedings of Economics and Finance Conferences 4206760, International Institute of Social and Economic Sciences.
    • Handle: RePEc:sek:iefpro:4206760
    as

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    File URL: https://iises.net/proceedings/6th-economics-finance-conference-oecd-headquarters-paris/table-of-content/detail?cid=42&iid=006&rid=6760
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    References listed on IDEAS

    as
    1. Li, Gang & Zhang, Chu, 2011. "Why Are Derivative Warrants More Expensive Than Options? An Empirical Study," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(1), pages 275-297, February.
    2. Wei Fan & Xinyi Yuan, 2011. "Call Warrants In China'S Securities Market: Pricing Biases And Investors' Confusion," New Mathematics and Natural Computation (NMNC), World Scientific Publishing Co. Pte. Ltd., vol. 7(02), pages 333-345.
    3. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    Full references (including those not matched with items on IDEAS)

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    Keywords

    trading strategies; warrants; investing;
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