Citation
Indra Gunawan, Nur Izzaty Ilmiah and Ibrahim, Siti Nur Iqmal and Abdul Rahim, Norhuda
(2016)
A review on Black-Scholes model in pricing warrants in Bursa Malaysia.
In: 2nd International Conference and Workshop on Mathematical Analysis (ICWOMA 2016), 2-4 Aug. 2016, Langkawi, Malaysia. (pp. 1-6).
Abstract
This paper studies the accuracy of the Black-Scholes (BS) model and the dilution-adjusted Black-Scholes (DABS) model to pricing some warrants traded in the Malaysian market. Mean Absolute Error (MAE) and Mean Absolute Percentage Error (MAPE) are used to compare the two models. Results show that the DABS model is more accurate than the BS model for the selected data.
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Additional Metadata
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Divisions: | Faculty of Economics and Management Faculty of Science Institute for Mathematical Research |
| DOI Number: | https://doi.org/10.1063/1.4972157 |
| Publisher: | AIP Publishing |
| Keywords: | Black-Scholes model; Warrants; Pricing; Bursa Malaysia |
| Depositing User: | Nabilah Mustapa |
| Date Deposited: | 26 Sep 2017 03:42 |
| Last Modified: | 26 Sep 2017 03:42 |
| Altmetrics: | http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1063/1.4972157 |
| URI: | http://psasir.upm.edu.my/id/eprint/57239 |
| Statistic Details: | View Download Statistic |
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