Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India

Matloob Ullah KHAN; Ambrish GUPTA; Sadaf SİRAJ

Article Details

Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India

Authors:

Matloob Ullah KHAN | Ambrish GUPTA | Sadaf SİRAJ

Publisher:

İlhan ÖZTÜRK

Journal:

International Journal of Economics and Financial Issues 2013 Vol.3 Issue 1, pp.87-98

Document Type:

Article

Publication Date:

2/2013

Document Language:

Turkish

Document ID (Org No.):

2000814745

Frequency:

Bimonthly

eISSN:

2146-4138

Abstract:

 

The main objectives of this paper are to incorporate modification in Black-Scholes option pricing model formula by adding some new variables on the basis of given assumption related to risk-free interest rate, and also shows the calculation process of new risk-free interest rate on the basis of modified variable. This paper also identifies the various situations in empirical testing of modified and original Black-Scholes formula with respect to the market value on the basis of assumed and calculated risk-free interest rate.

Article Details

Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India

Authors: Matloob Ullah KHAN | Ambrish GUPTA | Sadaf SİRAJ

Publisher: İlhan ÖZTÜRK

Journal: International Journal of Economics and Financial Issues 2013 Vol.3 Issue 1, pp.87-98

Document Type: Article

Publication Date: 2/2013

Document Language: Turkish

Document ID (Org No.): 2000814745

Frequency: Bimonthly

eISSN: 2146-4138

Issues

Authors:

Matloob Ullah KHAN | Ambrish GUPTA | Sadaf SİRAJ

Publisher:

İlhan ÖZTÜRK

Journal:

International Journal of Economics and Financial Issues 2013 Vol.3 Issue 1, pp.87-98

Document Type:

Article

Publication Date:

2/2013

Document Language:

Turkish

Document ID (Org No.):

2000814745

Frequency:

Bimonthly

eISSN:

2146-4138