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

Year 2013, Volume: 3 Issue: 1, 87 - 98, 01.03.2013

Matloob Ullah Khan Ambrish Gupta Sadaf Siraj

https://izlik.org/JA24SH75WC

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

Black-Scholes Option Pricing Model Empirical testing Suggested modification

Year 2013, Volume: 3 Issue: 1, 87 - 98, 01.03.2013

Matloob Ullah Khan Ambrish Gupta Sadaf Siraj

https://izlik.org/JA24SH75WC

Abstract

There are 0 citations in total.

Details

Other ID JA64KH62UV
Authors

Matloob Ullah Khan This is me

Ambrish Gupta This is me

Sadaf Siraj This is me

Publication Date March 1, 2013
IZ https://izlik.org/JA24SH75WC
Published in Issue Year 2013 Volume: 3 Issue: 1

Cite

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