EMPIRICAL TESTING OF MODIFIED BLACK-SCHOLES OPTION PRICING MODEL FORMULA ON NSE DERIVATIVE MARKET IN INDIA

EMPIRICAL TESTING OF MODIFIED BLACK-SCHOLES OPTION PRICING MODEL FORMULA ON NSE DERIVATIVE MARKET IN INDIA

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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 modi...

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Bibliographic Details
Main Authors: Ambrish Gupta, Matloob Ullah Khan, Sadaf Siraj
Format: Article
Language:English
Published: EconJournals 2013-01-01
Series:International Journal of Economics and Financial Issues
Subjects:
Black-Scholes Option Pricing Model
Empirical testing
Suggested modification
Online Access:http://www.econjournals.com/index.php/ijefi/article/view/348/pdf

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http://www.econjournals.com/index.php/ijefi/article/view/348/pdf

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