A threshold model for the Hong Kong warrant prices

Kin Ming Wong, Terence Tai Leung Chong

    Research output: Contribution to journalArticlepeer-review

    1 Citation (Scopus)

    Abstract

    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.

    Original languageEnglish
    Pages (from-to)337-339
    Number of pages3
    JournalApplied Financial Economics Letters
    Volume4
    Issue number5
    DOIs
    Publication statusPublished - Sep 2008

    Scopus Subject Areas

    • Finance
    • Economics and Econometrics

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