English, Article edition: A threshold model for the Hong Kong warrant prices Kin Ming Wong; Terence Tai-Leung Chong

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Bookmark: http://trove.nla.gov.au/version/50644
Physical Description
  • article
Language
  • English

Edition details

Title
  • A threshold model for the Hong Kong warrant prices
Author
  • Kin Ming Wong
  • Terence Tai-Leung Chong
Physical Description
  • article
Notes
  • This article examines the factors that are not considered in the Black-Scholes model in determining the price of warrants. Using the outstanding percentage as a threshold variable, we test for the existence of threshold effect in warrant prices. It is shown that for warrants with a low outstanding percentage, an increase in the outstanding percentage will lower the call price. On the other hand, for warrants with high outstanding percentage, the call price is less affected by the outstanding percentage.
  • RePEc:taf:apfelt:v:4:y:2008:i:5:p:337-339
Language
  • English
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