Abstract
S&P 500 index bear market warrants with a three-month reset are new strudured products on the Chicago Board Options Exchange and the New York Stock Exchange. They are like index puts with one difference: The exercise price resets automatically at a higher level if the index level is above the original exercise price on the reset date three months later. This study develops valuation methods for bear market warrants with a periodic reset, examines the warrant's risk characteristics, and compares observed warrant prices with those of comparable S&P 500 puts.
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