Author: Chi-ming Lee (Simon)Publisher:
ISBN:
Category : Financial futures
Languages : en
Pages : 238
Book Description
A Study of Hong Kong Foreign Exchange Warrants Pricing Using Black-scholes Formula
Author: Chi-ming Lee (Simon)Publisher:
ISBN:
Category : Financial futures
Languages : en
Pages : 238
Book Description
A Study of Hong Kong Foreign Exchange Warrants Pricing Using Black-Scholes Formula
Author: Chi-Ming Simon LeePublisher: Open Dissertation Press
ISBN: 9781361164129
Category :
Languages : en
Pages :
Book Description
This dissertation, "A Study of Hong Kong Foreign Exchange Warrants Pricing Using Black-scholes Formula" by Chi-ming, Simon, Lee, 李志明, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. DOI: 10.5353/th_b3126542 Subjects: Financial futures - China - Hong Kong - Mathematical models Foreign exchange - China - Hong Kong - Mathematical models Options (Finance) - Mathematical models Stock warrants - Mathematical models Stocks - Prices - Mathematical models - China - Hong Kong
A Preliminary Study of Hong Kong Warrants Using the Black-Scholesoption Pricing Model
Author: 高志強Publisher: Open Dissertation Press
ISBN: 9781361188439
Category :
Languages : en
Pages :
Book Description
This dissertation, "A Preliminary Study of Hong Kong Warrants Using the Black-Scholesoption Pricing Model" by 高志強, Chi-keung, Anthony, Ko, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. DOI: 10.5353/th_b3126322 Subjects: Options (Finance) Stock warrants - Mathematical models Stocks - Prices - Mathematical models - China - Hong Kong
PRICING OF HONG KONG WATTANTS
Author: 周煒強Publisher: Open Dissertation Press
ISBN: 9781361056615
Category : Mathematics
Languages : en
Pages : 92
Book Description
This dissertation, "The Pricing of Hong Kong Wattants: an Empirical Study of the Performance of the Kassouf, Black-Scholes and Constant Elasticity Variance Option Pricing Models" by 周煒強, Wai-keung, Chow, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. DOI: 10.5353/th_b3197729 Subjects: Stock warrants - Price Stock warrants - Mathematical models
A Threshold Model for the Hong Kong Warrant Prices
Author: Kin Ming WongPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
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.
Valuing Foreign Currency Options with a Mean-Reverting Process
Author: Cho-Hoi HuiPublisher:
ISBN:
Category :
Languages : en
Pages : 17
Book Description
The theoretical prediction on targeted exchange rates expects mean reversion of the exchange rates. There is some empirical evidence to support this prediction. This paper presents a model for valuing European foreign exchange options in which the forward foreign exchange rate follows a mean-reverting lognormal process. The corresponding closed-form solutions for the option valuation are derived. The mean-reverting process has material impact on the foreign exchange rate option values and their hedge parameters. This tends to decrease the value of a simple put or call. On the other hand, the process also keeps the exchange rate in a small range around the mean level. As this is the region in which an option's intrinsic value is high because of the level of its strike price, there is also a tendency for option values to be enhanced compared with the values of the Blackndash;Scholes model. The numerical results using the forward exchange rates of the Hong Kong dollar and market data of their options show that both of these effects are important for the realistic choices of parameter values. As the dynamics of targeted exchange rates may not follow the standard lognormal process as described by the Blackndash;Scholes model, the mean-reverting option-pricing model may be considered for the valuation of options and estimation of associated hedge parameters on targeted exchange rates.
Application of a Price Analysis Model to the Hong Kong Warrants Market
Author: Yee-kai ChanPublisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 26
Book Description
Author: Beni Lauterbach
Author: 
Author: