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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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书目详细资料
Main Authors:	Indra Gunawan, Nur Izzaty Ilmiah, Ibrahim, Siti Nur Iqmal, Abdul Rahim, Norhuda
格式:	Conference or Workshop Item
语言:	English
出版:	AIP Publishing 2016
在线阅读:	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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