TY - JOUR
T1 - A threshold model for the Hong Kong warrant prices
AU - Wong, Kin Ming
AU - Chong, Terence Tai Leung
PY - 2008/9
Y1 - 2008/9
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=52949123705&partnerID=8YFLogxK
U2 - 10.1080/17446540701720600
DO - 10.1080/17446540701720600
M3 - Journal article
AN - SCOPUS:52949123705
SN - 1744-6546
VL - 4
SP - 337
EP - 339
JO - Applied Financial Economics Letters
JF - Applied Financial Economics Letters
IS - 5
ER -