EN
Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India
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.
Keywords
Details
Primary Language
English
Subjects
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Journal Section
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Publication Date
March 1, 2013
Submission Date
March 1, 2013
Acceptance Date
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Published in Issue
Year 2013 Volume: 3 Number: 1
APA
Khan, M. U., Gupta, A., & Siraj, S. (2013). Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India. International Journal of Economics and Financial Issues, 3(1), 87-98. https://izlik.org/JA24SH75WC
AMA
1.Khan MU, Gupta A, Siraj S. Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India. IJEFI. 2013;3(1):87-98. https://izlik.org/JA24SH75WC
Chicago
Khan, Matloob Ullah, Ambrish Gupta, and Sadaf Siraj. 2013. “Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India”. International Journal of Economics and Financial Issues 3 (1): 87-98. https://izlik.org/JA24SH75WC.
EndNote
Khan MU, Gupta A, Siraj S (March 1, 2013) Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India. International Journal of Economics and Financial Issues 3 1 87–98.
IEEE
[1]M. U. Khan, A. Gupta, and S. Siraj, “Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India”, IJEFI, vol. 3, no. 1, pp. 87–98, Mar. 2013, [Online]. Available: https://izlik.org/JA24SH75WC
ISNAD
Khan, Matloob Ullah - Gupta, Ambrish - Siraj, Sadaf. “Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India”. International Journal of Economics and Financial Issues 3/1 (March 1, 2013): 87-98. https://izlik.org/JA24SH75WC.
JAMA
1.Khan MU, Gupta A, Siraj S. Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India. IJEFI. 2013;3:87–98.
MLA
Khan, Matloob Ullah, et al. “Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India”. International Journal of Economics and Financial Issues, vol. 3, no. 1, Mar. 2013, pp. 87-98, https://izlik.org/JA24SH75WC.
Vancouver
1.Matloob Ullah Khan, Ambrish Gupta, Sadaf Siraj. Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India. IJEFI [Internet]. 2013 Mar. 1;3(1):87-98. Available from: https://izlik.org/JA24SH75WC