We utilize a novel data panel of institutional short-sell transactions (with identification flags for hedgers and non-hedgers), equity covered put warrant data, and securities lending data based on the Taiwan market to show that put warrant derivatives hedge re-balancing raises borrowing costs...

We explore the effect of funding constraints on the trading costs of VIX futures. With an increase in funding constraints during a crisis (non-crisis) period, we observe a corresponding increase (decrease) in the proportional effective spread, quoted spread, order cost, asymmetric information,...

Given that both S&P 500 index and VIX options essentially contain information on the future dynamics of the S&P 500 index, in this study, we set out to empirically investigate the informational roles played by these two option markets with regard to the prediction of returns, volatility and...

This paper extends the static hedging portfolio (SHP) approach of Derman et al. (1995) and Carr et al. (1998) to price and hedge American knock-in put options under the Black–Scholes model and the constant elasticity of variance (CEV) model. We use standard European calls (puts) to construct...