Open AccessA review on Black-Scholes model in pricing warrants in Bursa Malaysia
Author(s) -
Nur Izzaty Ilmiah Indra Gunawan,
Siti Nur Iqmal Ibrahim,
Norhuda Abdul Rahim
Publication year - 2017
Publication title -
aip conference proceedings
Language(s) - English
Resource type - Conference proceedings
eISSN - 1551-7616
pISSN - 0094-243X
DOI - 10.1063/1.4972157
Subject(s) - black–scholes model , mean absolute percentage error , mean absolute error , mathematics , econometrics , mean squared error , statistics , volatility (finance)
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.
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