A threshold model for the Hong Kong warrant prices

Kin Ming Wong; Terence Tai Leung Chong

doi:10.1080/17446540701720600

A threshold model for the Hong Kong warrant prices

Kin Ming Wong, Terence Tai Leung Chong

Research output: Contribution to journal › Journal article › peer-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 language	English
Pages (from-to)	337-339
Number of pages	3
Journal	Applied Financial Economics Letters
Volume	4
Issue number	5
DOIs	https://doi.org/10.1080/17446540701720600
Publication status	Published - Sept 2008

Scopus Subject Areas

Finance
Economics and Econometrics

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10.1080/17446540701720600

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title = "A threshold model for the Hong Kong warrant prices",

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.",

author = "Wong, {Kin Ming} and Chong, {Terence Tai Leung}",

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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.

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A threshold model for the Hong Kong warrant prices

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