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...
| Main Authors: | , , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
AIP Publishing
2016
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| Online Access: | http://psasir.upm.edu.my/id/eprint/57239/ http://psasir.upm.edu.my/id/eprint/57239/1/A%20review%20on%20Black-Scholes%20model%20in%20pricing%20warrants%20in%20Bursa%20Malaysia.pdf |
| _version_ | 1848853309877649408 |
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| author | Indra Gunawan, Nur Izzaty Ilmiah Ibrahim, Siti Nur Iqmal Abdul Rahim, Norhuda |
| author_facet | Indra Gunawan, Nur Izzaty Ilmiah Ibrahim, Siti Nur Iqmal Abdul Rahim, Norhuda |
| author_sort | Indra Gunawan, Nur Izzaty Ilmiah |
| building | UPM Institutional Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-15T10:51:56Z |
| format | Conference or Workshop Item |
| id | upm-57239 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T10:51:56Z |
| publishDate | 2016 |
| publisher | AIP Publishing |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-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 |
| 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 |
| title | 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_short | 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 |
| url | http://psasir.upm.edu.my/id/eprint/57239/ http://psasir.upm.edu.my/id/eprint/57239/ http://psasir.upm.edu.my/id/eprint/57239/1/A%20review%20on%20Black-Scholes%20model%20in%20pricing%20warrants%20in%20Bursa%20Malaysia.pdf |