The following statement is quoted from Black (1989): . . . the expected return on a warrant

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The following statement is quoted from Black (1989): 

“. . . the expected return on a warrant (call option) should depend on the risk of the warrant in the same way that a common stock’s expected return depends on its risk . . . ”.

Explain the meaning of the above statement in relation to the concept of market price of risk and risk neutrality.

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