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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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Main Authors: Indra Gunawan, Nur Izzaty Ilmiah, Ibrahim, Siti Nur Iqmal, Abdul Rahim, Norhuda
Format: Conference or Workshop Item
Language:English
Published: AIP Publishing 2016
Online Access:http://psasir.upm.edu.my/id/eprint/57239/1/A%20review%20on%20Black-Scholes%20model%20in%20pricing%20warrants%20in%20Bursa%20Malaysia.pdf
http://psasir.upm.edu.my/id/eprint/57239/
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spelling my.upm.eprints.572392017-09-26T03:42:45Z http://psasir.upm.edu.my/id/eprint/57239/ A review on Black-Scholes model in pricing warrants in Bursa Malaysia Indra Gunawan, Nur Izzaty Ilmiah Ibrahim, Siti Nur Iqmal Abdul Rahim, Norhuda 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. AIP Publishing 2016 Conference or Workshop Item PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/57239/1/A%20review%20on%20Black-Scholes%20model%20in%20pricing%20warrants%20in%20Bursa%20Malaysia.pdf 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). 10.1063/1.4972157
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description 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.
format Conference or Workshop Item
author Indra Gunawan, Nur Izzaty Ilmiah
Ibrahim, Siti Nur Iqmal
Abdul Rahim, Norhuda
spellingShingle Indra Gunawan, Nur Izzaty Ilmiah
Ibrahim, Siti Nur Iqmal
Abdul Rahim, Norhuda
A review on Black-Scholes model in pricing warrants in Bursa Malaysia
author_facet Indra Gunawan, Nur Izzaty Ilmiah
Ibrahim, Siti Nur Iqmal
Abdul Rahim, Norhuda
author_sort Indra Gunawan, Nur Izzaty Ilmiah
title A review on Black-Scholes model in pricing warrants in Bursa Malaysia
title_short A review on Black-Scholes model in pricing warrants in Bursa Malaysia
title_full A review on Black-Scholes model in pricing warrants in Bursa Malaysia
title_fullStr A review on Black-Scholes model in pricing warrants in Bursa Malaysia
title_full_unstemmed A review on Black-Scholes model in pricing warrants in Bursa Malaysia
title_sort review on black-scholes model in pricing warrants in bursa malaysia
publisher AIP Publishing
publishDate 2016
url http://psasir.upm.edu.my/id/eprint/57239/1/A%20review%20on%20Black-Scholes%20model%20in%20pricing%20warrants%20in%20Bursa%20Malaysia.pdf
http://psasir.upm.edu.my/id/eprint/57239/
_version_ 1643836427765547008
score 13.18916

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