Petrella, Giovanni; Segara, Reuben - In: Quantitative Finance 13 (2013) 8, pp. 1241-1255
In this paper we study the bid--ask spread of covered warrants, which are securitized derivatives also referred to as bank-issued options. We find that most of the factors affecting the size of the bid--ask spread for covered warrants are common to those affecting the bid--ask spread of regular...