A threshold model for the Hong Kong warrant prices
Publication in refereed journal


香港中文大学研究人员 ( 现职)

庄太量教授 (经济学系)

全文

数位物件识别号 (DOI) http://dx.doi.org/10.1080/17446540701720600

引用次数
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/1Scopus source URL

其它资讯

摘要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.

着者Wong K.M., Chong T.T.-L.
期刊名称Applied Financial Economics Letters
出版年份2008
月份9
日期http://aims.cuhk.edu.hk/converis/portal/Publication/1
卷号4
期次5
出版社Routledge
出版地United Kingdom
页次337 - 339
国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/1744-6546
语言英式英语