A review on Black-Scholes model in pricing warrants in Bursa Malaysia

A review on Black-Scholes model in pricing warrants in Bursa Malaysia

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...

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Bibliográfalaš dieđut
Váldodahkkit: Indra Gunawan, Nur Izzaty Ilmiah, Ibrahim, Siti Nur Iqmal, Abdul Rahim, Norhuda
Materiálatiipa: Conference or Workshop Item
Giella:English
Almmustuhtton: AIP Publishing 2016
Liŋkkat:http://psasir.upm.edu.my/id/eprint/57239/1/A%20review%20on%20Black-Scholes%20model%20in%20pricing%20warrants%20in%20Bursa%20Malaysia.pdf

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http://psasir.upm.edu.my/id/eprint/57239/1/A%20review%20on%20Black-Scholes%20model%20in%20pricing%20warrants%20in%20Bursa%20Malaysia.pdf

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