Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India
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 mod...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2012-12-01
|
| Series: | International Journal of Economics and Financial Issues |
| Online Access: | http://mail.econjournals.com/index.php/ijefi/article/view/348 |
| _version_ | 1797920926113726464 |
|---|---|
| author | Matloob Ullah Khan Ambrish Gupta Sadaf Siraj |
| author_facet | Matloob Ullah Khan Ambrish Gupta Sadaf Siraj |
| author_sort | Matloob Ullah Khan |
| collection | DOAJ |
| description |
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.
Keywords: Black-Scholes Option Pricing Model; Empirical testing; Suggested modification
JEL Classifications: C30; G13; G17
|
| first_indexed | 2024-04-10T14:08:38Z |
| format | Article |
| id | doaj.art-4da23173ab864616918908fc44d15960 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T14:08:38Z |
| publishDate | 2012-12-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-4da23173ab864616918908fc44d159602023-02-15T16:09:50ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382012-12-0131Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In IndiaMatloob Ullah Khan0Ambrish Gupta1Sadaf Siraj2Jamia Hamdard UniversityFORE School of ManagementJamia Hamdard 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. Keywords: Black-Scholes Option Pricing Model; Empirical testing; Suggested modification JEL Classifications: C30; G13; G17 http://mail.econjournals.com/index.php/ijefi/article/view/348 |
| spellingShingle | Matloob Ullah Khan Ambrish Gupta Sadaf Siraj Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India International Journal of Economics and Financial Issues |
| title | Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India |
| title_full | Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India |
| title_fullStr | Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India |
| title_full_unstemmed | Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India |
| title_short | Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India |
| title_sort | empirical testing of modified black scholes option pricing model formula on nse derivative market in india |
| url | http://mail.econjournals.com/index.php/ijefi/article/view/348 |
| work_keys_str_mv | AT matloobullahkhan empiricaltestingofmodifiedblackscholesoptionpricingmodelformulaonnsederivativemarketinindia AT ambrishgupta empiricaltestingofmodifiedblackscholesoptionpricingmodelformulaonnsederivativemarketinindia AT sadafsiraj empiricaltestingofmodifiedblackscholesoptionpricingmodelformulaonnsederivativemarketinindia |