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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| 主要な著者: | , , |
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| フォーマット: | Conference or Workshop Item |
| 言語: | English |
| 出版事項: |
AIP Publishing
2016
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| オンライン･アクセス: | 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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