This paper uses Itô processes and stochastic calculus to derive the empirical hypotheses based on the assumption of volume and price affect each other. We use Taiwanese call warrants to examine the dynamic relation between prices and trading volumes. The main results include (1) the price and volume of warrants are not stationary; (2) different degrees of magnitudes in long-run and short-run relationships between volume and price; (3) trading volumes are affected by price volatility and return effect; (4) price volatility is not a important factor to determine volume volatility.